A unified theory of extreme Expected Shortfall inference
Abdelaati Daouia, Gilles Stupfler & Antoine Usseglio-Carleve
| Year of publication: |
August 2024
|
|---|---|
| Authors: | Daouia, Abdelaati ; Stupfler, Gilles ; Usseglio-Carleve, Antoine |
| Publisher: |
[Toulouse] : [Toulouse School of Economics] |
| Subject: | Expected Shortfall | extrapolation | inference | extreme value moment estimator | second-order regular variation | stable distribution | weak convergence | Risikomaß | Risk measure | Schätztheorie | Estimation theory | Statistische Verteilung | Statistical distribution | Induktive Statistik | Statistical inference | Wahrscheinlichkeitsrechnung | Probability theory | Ausreißer | Outliers | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income |
freely available
| Extent: | 1 Online-Ressource (circa 81 Seiten) Illustrationen |
|---|---|
| Series: | Working papers / TSE : WP. - Toulouse, ZDB-ID 2816658-9. - Vol. no 1565 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015097279