Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory
Citation
Martins-Filho, Carlos; Yao, Feng; Torero, Máximo 2012. Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory.
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Author ORCID identifiers
Maximo Torero https://orcid.org/0000-0002-4863-3371
Carlos Martins-Filho https://orcid.org/0000-0003-2678-2525
Carlos Martins-Filho https://orcid.org/0000-0003-2678-2525
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Peer Review
Language
en
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Limited Access