ESTIMATION OF AND INFERENCE ABOUT THE EXPECTED SHORTFALL FOR TIME SERIES WITH INFINITE VARIANCE
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Publication:5403110
DOI10.1017/S0266466612000692zbMath1283.91156MaRDI QIDQ5403110
Publication date: 25 March 2014
Published in: Econometric Theory (Search for Journal in Brave)
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G60: Numerical methods (including Monte Carlo methods)
91G70: Statistical methods; risk measures
91B84: Economic time series analysis
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