Asymptotic distribution of the sample average value-at-risk in the case of heavy-tailed returns

zbMATH Open1158.91389MaRDI QIDQ3620508FDOQ3620508

Authors: Stoyan V. Stoyanov, Svetlozar T. Rachev 

Publication date: 14 April 2009

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zbMATH Keywords

Monte Carloasymptotic distributionheavy-tailsrisk measuresaverage value-at-risk

Mathematics Subject Classification ID

Cited In (3)

• Sampling Distribution of the Relative Risk Aversion Estimator: Theory and Applications
• Asymptotic distribution of the sample average value-at-risk
• Stochastic models for risk estimation in volatile markets: a survey

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