NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY
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Publication:4599616
DOI10.1017/S0266466616000517zbMath1441.62240arXiv1612.08099MaRDI QIDQ4599616
Feng Yao, Carlos Martins-Filho, Maximo Torero
Publication date: 4 January 2018
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1612.08099
Density estimation (62G07) 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) Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32)
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