Optimisation of Time-Varying Asset Pricing Models with Penetration of Value at Risk and Expected Shortfall

Optimisation of Time-Varying Asset Pricing Models with Penetration of Value at Risk and Expected Shortfall

This study aims to apply value at risk (VaR) and expected shortfall (ES) as time-varying systematic and idiosyncratic risk factors to address the downside risk anomaly of various asset pricing models currently existing in the Pakistan stock exchange. The study analyses the significance of high minus...

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Bibliographic Details
Main Authors: Adeel Nasir, Kanwal Iqbal Khan, Mário Nuno Mata, Pedro Neves Mata, Jéssica Nunes Martins
Format: Article
Language:English
Published: MDPI AG 2021-02-01
Series:Mathematics
Subjects:
value at risk
expected shortfall
CAPM
Fama and French
VaR
asset pricing
Online Access:https://www.mdpi.com/2227-7390/9/4/394

Internet

https://www.mdpi.com/2227-7390/9/4/394

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