Search Results - subject:"Asymptotic variability"

CVaR sensitivity with respect to tail thickness

Stoyanov, Stoyan V.; Rachev, Svetlozar T.; Fabozzi, Frank J. - 2011

the asymptotic variability of the CVaR estimator with daily returns which is a standard choice for the return frequency …

Persistent link: https://www.econbiz.de/10010304716

CVaR sensitivity with respect to tail thickness

Stoyanov, Stoyan V.; Rachev, Svetlozar T.; Fabozzi, Frank J. - Fakultät für Wirtschaftswissenschaften, Karlsruhe … - 2011

the asymptotic variability of the CVaR estimator with daily returns which is a standard choice for the return frequency …

Persistent link: https://www.econbiz.de/10009024646

CVaR sensitivty with respect to tail thickness

Stoyanov, Stoyan V.; Račev, Svetlozar T.; Fabozzi, Frank J. - In: Journal of banking & finance 37 (2013) 3, pp. 977-988

Persistent link: https://www.econbiz.de/10009708724

CVaR sensitivity with respect to tail thickness

Stoyanov, Stoyan V.; Rachev, Svetlozar T.; Fabozzi, Frank J. - In: Journal of Banking & Finance 37 (2013) 3, pp. 977-988

asymptotic variability of the risk estimator. We calculate the relative importance of the conditional value-at-risk (CVaR … and the asymptotic variability of the risk estimator. …

Persistent link: https://www.econbiz.de/10010608672