Author:
Belomestny Denis,Krätschmer Volker
Abstract
In this paper we study the asymptotic properties of the canonical plugin 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 and identically distributed data, and then extend it to the case of weakly dependent data. Finally, a number of illustrating examples is presented.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
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