Time-lagged marginal expected shortfall

MaRDI QIDQ7176495arXivFDO

Authors Jiajun Liu, Xuannan Liu, Yuwei Zhao

Publication date 2025

Published in arXiv

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70)

arXiv classification

stat.ME

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