Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
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Publication:4464016
DOI10.1111/J.0960-1627.2004.00184.XzbMATH Open1097.91049OpenAlexW2072636537MaRDI QIDQ4464016FDOQ4464016
Authors: Olivier Scaillet 
Publication date: 27 May 2004
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://archive-ouverte.unige.ch/unige:41799
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Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)
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