Fig. 7From: A note on calculating expected shortfall for discrete time stochastic volatility modelsResults for \(\tau =0.01\). Plot of \(\widehat{M}_2(\tau ,\sigma )\) against \(\sigma\) in the case where \(\epsilon _t\) and \(\eta _t\) are iid N(0, 1). Here we use \(N_1=N_2=10^8\) to get accurate resultsBack to article page