Pages that link to "Item:Q4464016"

The following pages link to Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall (Q4464016):

Displaying 50 items.

• Nonparametric estimation of conditional VaR and expected shortfall (Q299264) (← links)
• Conditional value-at-risk: semiparametric estimation and inference (Q311646) (← links)
• A modified functional delta method and its application to the estimation of risk functionals (Q604360) (← links)
• An empirical central limit theorem with applications to copulas under weak dependence (Q625311) (← links)
• `Closing the loop' in biological systems modeling -- from the in silico to the in vitro (Q665141) (← links)
• On multivariate extensions of conditional-tail-expectation (Q743166) (← links)
• GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference (Q894634) (← links)
• Shortfall as a risk measure: properties, optimization and applications (Q953649) (← links)
• Risk capital allocation by coherent risk measures based on one-sided moments. (Q1413388) (← links)
• Quantifying market risk with value-at-risk or expected shortfall? -- Consequences for capital requirements and model risk (Q1656799) (← links)
• Linking Tukey's legacy to financial risk measurement (Q1659149) (← links)
• Hedging the exchange rate risk for international portfolios (Q1998038) (← links)
• Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo (Q2076930) (← links)
• Nonparametric mean-lower partial moment model and enhanced index investment (Q2147100) (← links)
• Optimal risk-sharing across a network of insurance companies (Q2212158) (← links)
• Two nonparametric approaches to mean absolute deviation portfolio selection model (Q2244212) (← links)
• Varying confidence levels for CVaR risk measures and minimax limits (Q2297651) (← links)
• Nonparametric kernel estimation of CVaR under \(\alpha\)-mixing sequences (Q2306884) (← links)
• Multivariate elliptical truncated moments (Q2397126) (← links)
• Asymptotic behavior of Mean-CVaR portfolio selection model under nonparametric framework (Q2408890) (← links)
• Testing tail monotonicity by constrained copula estimation (Q2442534) (← links)
• MODEL-FREE INFERENCE FOR TAIL RISK MEASURES (Q2786682) (← links)
• Positive quadrant dependence testing and constrained copula estimation (Q2852552) (← links)
• Estimation methods for expected shortfall (Q2879025) (← links)
• Adjusted empirical likelihood for value at risk and expected shortfall (Q2979015) (← links)
• Directional entropy and tail uncertainty, with applications to financial hazard (Q3169219) (← links)
• Nonparametric estimation of expected shortfall via Bahadur-type representation and Berry–Esséen bounds (Q3390465) (← links)
• ESTIMATION RISK IN GARCH VaR AND ES ESTIMATES (Q3632423) (← links)
• Risk forecasting in (T)GARCH models with uncorrelated dependent innovations (Q4555065) (← links)
• Nonparametric inference for sensitivity of Haezendonck–Goovaerts risk measure (Q4562030) (← links)
• Nonparametric estimation of 100(1 − <i>p</i>)% expected shortfall: <i>p</i> <font>→</font> 0 as sample size is increased (Q4563411) (← links)
• NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY (Q4599616) (← links)
• A smooth non-parametric estimation framework for safety-first portfolio optimization (Q4619492) (← links)
• RIGHT-TAIL INFORMATION IN FINANCIAL MARKETS (Q4979935) (← links)
• Approximation methods for multiple period Value at Risk and Expected Shortfall prediction (Q5001182) (← links)
• Macroeconomic and Financial Networks: Review of Some Recent Developments in Parametric and Non-parametric Approaches (Q5022167) (← links)
• Multi-stage stochastic model in portfolio selection problem (Q5023481) (← links)
• Bayesian CV@R/super-quantile regression (Q5036539) (← links)
• Nonparametric kernel estimation of expected shortfall under negatively associated sequences (Q5077216) (← links)
• Capital Allocation Using the Bootstrap (Q5168712) (← links)
• Consistency of recursive nonparametric Kernel estimates for independent functional data (Q5226479) (← links)
• Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk (Q5270722) (← links)
• ESTIMATION OF AND INFERENCE ABOUT THE EXPECTED SHORTFALL FOR TIME SERIES WITH INFINITE VARIANCE (Q5403110) (← links)
• On risk management problems related to a coherence property (Q5475313) (← links)
• The lower regression function and testing expectation dependence dominance hypotheses (Q5861055) (← links)
• Conditional VAR and Expected Shortfall: A New Functional Approach (Q5864357) (← links)
• An impossibility theorem on capital allocation (Q5887320) (← links)
• Simulating risk measures via asymptotic expansions for relative errors (Q6054368) (← links)
• Uncertainty Comparison Between Value-at-Risk and Expected Shortfall (Q6122965) (← links)
• Estimation of the adjusted standard-deviatile for extreme risks (Q6536918) (← links)