Conditional VAR and expected shortfall : a new functional approach
Frédéric Ferraty and Alejandro Quintela-Del-Río
| Year of publication: |
2016
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|---|---|
| Authors: | Ferraty, Frédéric ; Quintela del Río, Alejandro |
| Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 0731-1761, ZDB-ID 797463-2. - Vol. 35.2016, 1/4, p. 263-292
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| Subject: | Asymptotic properties | Conditional expected shortfall | Conditional value-at-risk | Functional process | Functional kernel estimator | Functional nonparametric estimation | International financial index | Risikomaß | Risk measure | Nichtparametrisches Verfahren | Nonparametric statistics | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07474938.2013.807107 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011549924