Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory
| Autores principales: | , , |
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| Formato: | Artículo preliminar |
| Lenguaje: | Inglés |
| Publicado: |
2012
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| Materias: | |
| Acceso en línea: | https://hdl.handle.net/10568/153197 |
| _version_ | 1855514084841095168 |
|---|---|
| author | Martins-Filho, Carlos Yao, Feng Torero, Máximo |
| author_browse | Martins-Filho, Carlos Torero, Máximo Yao, Feng |
| author_facet | Martins-Filho, Carlos Yao, Feng Torero, Máximo |
| author_sort | Martins-Filho, Carlos |
| collection | Repository of Agricultural Research Outputs (CGSpace) |
| format | Artículo preliminar |
| id | CGSpace153197 |
| institution | CGIAR Consortium |
| language | Inglés |
| publishDate | 2012 |
| publishDateRange | 2012 |
| publishDateSort | 2012 |
| record_format | dspace |
| spelling | CGSpace1531972025-11-06T05:06:48Z Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory Martins-Filho, Carlos Yao, Feng Torero, Máximo models strong mixing 2012 2024-10-01T13:55:46Z 2024-10-01T13:55:46Z Working Paper https://hdl.handle.net/10568/153197 en Limited Access application/pdf Martins-Filho, Carlos; Yao, Feng; Torero, Máximo 2012. Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory. |
| spellingShingle | models strong mixing Martins-Filho, Carlos Yao, Feng Torero, Máximo Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory |
| title | Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory |
| title_full | Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory |
| title_fullStr | Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory |
| title_full_unstemmed | Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory |
| title_short | Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory |
| title_sort | nonparametric estimation of conditional value at risk and expected shortfall based on extreme value theory |
| topic | models strong mixing |
| url | https://hdl.handle.net/10568/153197 |
| work_keys_str_mv | AT martinsfilhocarlos nonparametricestimationofconditionalvalueatriskandexpectedshortfallbasedonextremevaluetheory AT yaofeng nonparametricestimationofconditionalvalueatriskandexpectedshortfallbasedonextremevaluetheory AT toreromaximo nonparametricestimationofconditionalvalueatriskandexpectedshortfallbasedonextremevaluetheory |