Conditional marginal expected shortfall (Q826003)

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scientific article
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Conditional marginal expected shortfall
scientific article

    Statements

    title
    Conditional marginal expected shortfall (English)
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    author
    Yuri Goegebeur
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    Armelle Guillou
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    Nguyen Khanh Le Ho
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    Jing Qin
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    published in
    Extremes
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    publication date
    18 December 2021
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    zbMATH Keywords
    marginal expected shortfall
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    empirical process
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    Pareto-type distribution
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    tail dependence
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    cites work
    Q5485944
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    Q3125064
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    Asymptotic Statistics
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    Q4865051
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    Q5510038
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    Q4147425
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    Identifiers

    Mathematics Subject Classification ID
    62P05
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    62G32
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    62H12
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    62G20
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    91G70
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    zbMATH DE Number
    7449514
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    OpenAlex ID
    W2970871209
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