no code implementations • 31 Aug 2023 • Aleksy Leeuwenkamp, Wentao Hu
To show practical utility, we use these measures on high-frequency stock return data around market distress events such as the 2010 Flash Crash and during the GFC.
no code implementations • 6 Jun 2022 • Aleksy Leeuwenkamp
Also, the ES-based measures are more sensitive to power-law tails and large losses.