Nonparametric estimation of conditional VaR and expected shortfall
| Year of publication: |
2008
|
|---|---|
| Authors: | Cai, Zongwu ; Wang, Xian |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 1848616. - Vol. 147.2008, 1, p. 120-131
|