Conditional value-at-risk: semiparametric estimation and inference
DOI10.1016/j.jeconom.2016.07.002zbMath1443.62373OpenAlexW2485542002MaRDI QIDQ311646
Zhibiao Zhao, Chuan-Sheng Wang
Publication date: 13 September 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.07.002
bootstrapquantile regressionnonlinear time seriessemiparametric methodsconditional value-at-riskconditional expected shortfall
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
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Cites Work
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- Preface
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