Extreme and Inference for Tail Gini Functionals With Applications in Tail Risk Measurement
Author:
Affiliation:
1. School of Data Science, Fudan University , Shanghai , China ;
2. Department of Mathematics, Illinois State University , Normal , IL
Funder
National Natural Science Foundation of China
Science and Technology Commission of Shanghai Municipality
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/01621459.2020.1730855
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1. Measuring Systemic Risk
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4. Nonparametric Tail Risk, Stock Returns, and the Macroeconomy
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