Gouriéroux, Christian; Zakoian, Jean-Michel - Centre de Recherche en Économie et Statistique … - 2012
Standard risk measures, such as the Value-at-Risk (VaR), or the Expected Shortfall, have to be estimated and their estimated counterparts are subject to estimation uncertainty. Replacing, in the theoretical formulas, the true parameter value by an estimator based on n observations of the Profit...