In this paper we study the asymptotic properties of the canonical plug-in estimates for law-invariant coherent risk measures. Under rather mild conditions not relying on the explicit representation of the risk measure under consideration, we first prove a central limit theorem for independent...

In this paper we study the asymptotic properties of the canonical plug-in estimates for law-invariant coherent risk measures. Under rather mild conditions not relying on the explicit representation of the risk measure under consideration, we rst prove a central limit theorem for independent...

This paper discusses the fundamental role played by Skorokhod space, through its underpinning of functional central limit theory, in the development of the paradigm of unit roots and co-integration. This paradigm has fundamentally affected the way economists approach economic time series as was...

We consider an evolving ensemble assembled from a set of n different elements via a stochastic growth process in which independent and identically distributed copies of the elements arrive randomly in time, and their statistics are governed by Zipf’s law. The associated “Heaps process” is...