Moderate Deviations for Estimators of Financial Risk Under an Asymmetric Laplace Law
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Publication:5249192
DOI10.1080/03610926.2012.746984zbMath1312.60032OpenAlexW2062530597MaRDI QIDQ5249192
Shaochen Wang, Yujie Cai, Fu Qing Gao
Publication date: 29 April 2015
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2012.746984
large deviations principledelta methodconditional value-at-riskasymmetric Laplace lawmoderate deviations principle
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Cites Work
- Delta method in large deviations and moderate deviations for estimators
- Asymptotic behavior of the empirical conditional value-at-risk
- Estimating conditional tail expectation with actuarial applications in view
- Approximating the distributions of estimators of financial risk under an asymmetric Laplace law
- Asymmetric Laplace laws and modeling financial data
- Large deviations bounds for estimating conditional value-at-risk
- Coherent Measures of Risk
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