Non-Parametric Inference on Risk Measures for Integrated Returns
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Publication:5139500
DOI10.1142/9789811202391_0072zbMath1451.91232OpenAlexW3081107142MaRDI QIDQ5139500
Hwai-Chung Ho, Henghsiu Tsai, Hung-Yin Chen
Publication date: 9 December 2020
Published in: Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/9789811202391_0072
quantileinferenceintegrated processtestvalue at riskstochastic volatility modelconditional tail expectationequality of tail risks
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Nonparametric estimation (62G05)