Nonparametric estimation of conditional VaR and expected shortfall
Year of publication: |
2008
|
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Authors: | Cai, Zongwu ; Wang, Xian |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 147.2008, 1, p. 120-130
|
Subject: | Nichtparametrisches Verfahren | Nonparametric statistics | Risikomaß | Risk measure |
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