Estimation of the marginal expected shortfall under asymptotic independence (Q5108972)
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scientific article; zbMATH DE number 7197858
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| English | Estimation of the marginal expected shortfall under asymptotic independence |
scientific article; zbMATH DE number 7197858 |
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Estimation of the marginal expected shortfall under asymptotic independence (English)
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7 May 2020
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asymptotic independence
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marginal expected shortfall
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tail dependence coefficient
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0.8702483177185059
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0.8664503693580627
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0.8343672156333923
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0.8285004496574402
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0.8212279677391052
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