Uncertainty Comparison Between Value-at-Risk and Expected Shortfall (Q6122965)
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scientific article; zbMATH DE number 7812208
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| default for all languages | No label defined |
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| English | Uncertainty Comparison Between Value-at-Risk and Expected Shortfall |
scientific article; zbMATH DE number 7812208 |
Statements
Uncertainty Comparison Between Value-at-Risk and Expected Shortfall (English)
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4 March 2024
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\(\alpha\)-mixing
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asymptotic variance
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expected shortfall
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value-at-risk
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0.8064819574356079
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0.7664294242858887
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0.7651962637901306
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0.7371301054954529
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0.7349725961685181
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