SSRNTrading, Microstructure & Execution
Cornish-Fisher Downside Risk: Estimation, Decomposition, and Backtesting
A new model for estimating risk based on the corrected Cornish-Fisher expansion provides more accurate downside risk forecasts for various equity indices and commodity futures.
Featured in No. 45 on 17 Apr 2024 · · 0 citations today
- Released
- 1 Feb 2023
- First featured
- No. 45 · 17 Apr 2024
- Citations (Semantic Scholar)
- 0
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 3
- Identifier
- SSRN 4796363
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