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Our data says that the document:

Adeel, Nasir ; Jessica Nunes, Martins ; Kanwal Iqbal, Khan ; Mario Nuno, Mata ; Pedro Neves, Mata. (2021) Optimisation of Time-Varying Asset Pricing Models with Penetration of Value at Risk and Expected Shortfall.
In: Mathematics. RePEc:gam:jmathe:v:9:y:2021:i:4:p:394-:d:500481.

Full description at Econpapers

cites:

Oger, G. Measuring Market Risk: From Value-at-Risk (VaR) to Expected Shortfall (ES). The Troublesome Question of ES Backtesting. Available online: https://matheo.uliege.be/handle/2268.2/10454 (accessed on 5 July 2020).

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