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Publications by James Ming Chen

On Exactitude in Financial Regulation: Value-At-Risk, Expected Shortfall, and Expectiles

SSRN Electronic Journal
2018English

Sinking, Fast and Slow: Bifurcating Beta in Financial and Behavioral Space

AESTIMATIO
2015English

Related publications

A Fast, Accurate Method for Value at Risk and Expected Shortfall

SSRN Electronic Journal
2014English

Analytical Value-At-Risk and Expected Shortfall Under Regime-Switching

Finance Research Letters
Finance
2009English

Testes Para Avaliação Das Previsões De Value-At-Risk E Expected Shortfall

Brazilian Review of Finance
2019English

Value-At-Risk and Expected Shortfall for Linear Portfolios With Elliptically Distributed Risk Factors

International Journal of Theoretical and Applied Finance
EconomicsEconometricsFinance
2005English

Bootstrapping the Expected Shortfall

Theoretical Economics Letters
2018English

Investment Risk Measurement Based on Quantiles and Expectiles

Acta Universitatis Lodziensis. Folia Oeconomica
2018English

On the Role of the Estimation Error in Prediction of Expected Shortfall

SSRN Electronic Journal
2012English

Comment on “Error and Regulatory Risk in Financial Institution Regulation”

Supreme Court Economic Review
2017English

Hedge Fund Portfolio Selection With Modified Expected Shortfall

Computational Finance and its Applications III
2008English

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