Asymptotic behaviors of the VaR and CVaR estimates for widely orthant dependent sequences

Cites Work

Approximation Theorems of Mathematical Statistics
Coherent measures of risk
Precise large deviations for dependent random variables with heavy tails
Uniform asymptotics for the finite-time ruin probability of a dependent risk model with a constant interest rate
On complete convergence for widely orthant-dependent random variables and its applications in nonparametric regression models
Basic renewal theorems for random walks with widely dependent increments
Some remarks on the value-at-risk and the conditional value-at-risk
An inequality of widely dependent random variables and its applications
Extreme Value Theory as a Risk Management Tool
The Bahadur representation for sample quantiles under strongly mixing sequence
Bahadur representation of linear kernel quantile estimator of VaR under \(\alpha \)-mixing assumptions
On consistency of the weighted least squares estimators in a semiparametric regression model
The asymptotic properties of CVaR estimator under \(\rho\) mixing sequences
Strong Consistency of Conditional Value-at-risk Estimate for ϕ-mixing Samples
NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY
Nonparametric kernel estimation of CVaR under \(\alpha\)-mixing sequences
Asymptotic normality of the empirical distribution under negatively associated sequences and its applications
The asympotic properties of the sample quantile estimator of VaR under positive associated samples
The rate of asymptotic normality for nearest neighbor estimation of density function under extended negatively dependent samples
On some inequalities for ψ-mixing sequences and its applications in conditional value-at-risk estimate
Asymptotic properties of the Kaplan-Meier estimator and hazard rate estimator for right censored and widely orthant dependent data

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