On the estimation of the variability in the distribution tail
Author:
Funder
Agence Nationale de la Recherche
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
https://link.springer.com/content/pdf/10.1007/s11749-021-00754-2.pdf
Reference41 articles.
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3. Acerbi C, Tasche D (2002) On the coherence of expected shortfall. J Bank Finance 26:1487–1503
4. Artzner P, Delbaen F, Eber J-M, Heath D (1999) Coherent measures of risk. Math Finance 9:203–228
5. Beirlant J, Goegebeur Y, Segers J, Teugels J (2004) Statistics of extremes: theory and applications. Wiley, London
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