Asymptotically efficient estimation of the conditional expected shortfall
DOI10.1016/J.CSDA.2011.02.020zbMATH Open1243.62043OpenAlexW2131580584MaRDI QIDQ433233FDOQ433233
Authors: Samantha Leorato, Franco Peracchi, Andrei V. Tanase 
Publication date: 13 July 2012
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: http://www.eief.it/files/2012/09/wp-13-asymptotically-efficient-estimation-of-the-conditional-expected-shortfall.pdf
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Cited In (11)
- Measures of Residual Risk with Connections to Regression, Risk Tracking, Surrogate Models, and Ambiguity
- Statistically efficient construction of \(a\)-risk-minimizing portfolio
- Computation of expected shortfall by fast detection of worst scenarios
- Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk
- Bayesian CV@R/super-quantile regression
- Nonparametric kernel estimation of CVaR under \(\alpha\)-mixing sequences
- Expectile and quantile regression—David and Goliath?
- Asymptotics for Operational Risk Quantified with Expected Shortfall
- Nonparametric kernel estimation of expected shortfall under negatively associated sequences
- Inference for joint quantile and expected shortfall regression
- On estimating the conditional expected shortfall
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