Relative bound and asymptotic comparison of expectile with respect to expected shortfall (Q784463)
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scientific article
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| English | Relative bound and asymptotic comparison of expectile with respect to expected shortfall |
scientific article |
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Relative bound and asymptotic comparison of expectile with respect to expected shortfall (English)
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3 August 2020
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expectile
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expected shortfall
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value at risk
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extreme value
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risk measure
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0.8442287445068359
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0.8238601088523865
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0.8162863254547119
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0.8051871657371521
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0.801648736000061
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