Non-parametric estimation of conditional tail expectation for long-horizon returns (Q4986382)
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scientific article; zbMATH DE number 7339844
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Non-parametric estimation of conditional tail expectation for long-horizon returns |
scientific article; zbMATH DE number 7339844 |
Statements
27 April 2021
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asymptotic normality
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conditional tail expectation
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integrated process
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interval forecast
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long-horizon returns
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stochastic volatility model
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0.8126986622810364
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0.7849041819572449
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0.7589650750160217
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0.7579171657562256
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0.7472679615020752
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