Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory
Carlos Martins-Filho, Feng Yao, Maximo Torero
| Year of publication: |
February 2018
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|---|---|
| Authors: | Martins-Filho, Carlos ; Yao, Feng ; Torero, Máximo |
| Published in: |
Econometric theory. - Cambridge : Cambridge Univ. Press, ISSN 0266-4666, ZDB-ID 901661-2. - Vol. 34.2018, 1, p. 23-67
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| Subject: | Risikomaß | Risk measure | Nichtparametrisches Verfahren | Nonparametric statistics | Theorie | Theory | Ausreißer | Outliers | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1017/S0266466616000517 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011950922