Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics (Q3144391)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics |
scientific article |
Statements
Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics (English)
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7 December 2012
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value-at-risk
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average value-at-risk
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linear regression
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least-squares residuals
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M-estimators
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quantile regression
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conditional risk measures
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law-invariant risk measures
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statistical inference
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