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Estimation risk for value-at-risk and expected shortfall
Kabaila, Paul; Mainzer, Rheanna - In: Journal of risk 20 (2017/2018) 3, pp. 29-47
Persistent link: https://www.econbiz.de/10011847463
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Performance limits for estimators of the risk or distribution of shrinkage-type estimators, and some general lower risk-bound results
Leeb, Hannes (contributor);  … - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002174801
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Performance limits for estimators of the risk or distribution of shrinkage-type estimators, and some general lower risk-bound results
Leeb, Hannes; Pötscher, Benedikt M. - In: Econometric theory 22 (2006) 1, pp. 69-97
Persistent link: https://www.econbiz.de/10003272610