A Weissman-type estimator of the conditional marginal expected shortfall-Reference-Cited by-同舟云学术

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A Weissman-type estimator of the conditional marginal expected shortfall

Published:2021-10 Issue: Volume: Page:
ISSN:2452-3062
Container-title:Econometrics and Statistics
language:en
Short-container-title:Econometrics and Statistics

Author:

Goegebeur Yuri^ORCID,Guillou Armelle,Ho Nguyen Khanh Le,Qin Jing^ORCID

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference36 articles.

1. Measuring systemic risk;Acharya,2010

2. Coherent measures of risk;Artzner;Mathematical Finance,1999

3. TVar-based capital allocation with copulas;Bargès;Insurance: Mathematics and Economics,2009

4. Statistics of Extremes: Theory and Applications;Beirlant,2004

5. Second-order refined peaks-over-threshold modelling for heavy-tailed distributions;Beirlant;Journal of Statistical Planning and Inference,2009

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2. Dependent conditional tail expectation for extreme levels;Stochastic Processes and their Applications;2024-05

3. Nonparametric estimation of conditional marginal excess moments;Journal of Multivariate Analysis;2023-01

4. Robust estimation of the conditional stable tail dependence function;Annals of the Institute of Statistical Mathematics;2022-06-28

5. Directional Tests and Confidence Bounds on Economic Inequality;Econometrics and Statistics;2022-02

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