Expected shortfall estimation and Gaussian inference for infinite variance time series
Jonathan B. Hill
| Year of publication: |
2015
|
|---|---|
| Authors: | Hill, Jonathan B. |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 13.2015, 1, p. 1-44
|
| Subject: | Expected shortfall | heavy tails | robust estimation | bias correction | Schätztheorie | Estimation theory | Risikomaß | Risk measure | Zeitreihenanalyse | Time series analysis | Systematischer Fehler | Bias | Robustes Verfahren | Robust statistics |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010519664