Marginal expected shortfall risk measure for time series

DOI10.1007/S11203-025-09334-9MaRDI QIDQ6878831zbMATH OpenFDO

Authors Yuri Goegebeur, Armelle Guillou, Jing Qin

Publication date 5 January 2026

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S11203-025-09334-9

zbMATH Keywords

bootstrapempirical processextreme value theorymarginal expected shortfallmixingtime series

Mathematics Subject Classification ID

Inference from stochastic processes (62Mxx)

Cites work

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• Peak-over-threshold estimators for spectral tail processes: random vs deterministic thresholds
• Tail risk inference via expectiles in heavy-tailed time series

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