Multi-period exponentially weighted-expected shortfall

DOI10.13548/J.SXZZ.20170331.009zbMATH Open1399.91144MaRDI QIDQ3175215FDOQ3175215

Authors: Qiong Liu, Yijun Hu 

Publication date: 18 July 2018

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zbMATH Keywords

convexityexponential weightingmulti risksingle risk

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Cited In (1)

• Estimation of multiple period expected shortfall and median shortfall for risk management

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