Nonparametric estimation of 100(1 − p)% expected shortfall: p → 0 as sample size is increased
Author:
Affiliation:
1. Mathematical Science Department, Tezpur University, Napaam, Tezpur, Assam, India
Publisher
Informa UK Limited
Subject
Modelling and Simulation,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/03610918.2016.1152370
Reference18 articles.
1. On the coherence of expected shortfall
2. Coherent Measures of Risk
3. A note on the estimation of a distribution function and quantiles by a kernel method
4. Assessing Market Risk of Indian Index Funds
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