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Publication:3571063

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zbMath1212.91128MaRDI QIDQ3571063

Jing Liu, Shan-chao Yang

Publication date: 8 July 2010

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

asymptotic normality \(\alpha\)-mixing nonparametric estimation expected shortfall value at risk

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Nonparametric estimation (62G05)

Related Items (3)

Nonparametric kernel estimation of expected shortfall under negatively associated sequences ⋮ Asymptotics for the linear kernel quantile estimator ⋮ Nonparametric kernel estimation of CVaR under \(\alpha\)-mixing sequences

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