Estimation of the marginal expected shortfall under asymptotic independence (Q5108972)
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scientific article; zbMATH DE number 7197858
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation of the marginal expected shortfall under asymptotic independence |
scientific article; zbMATH DE number 7197858 |
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Estimation of the marginal expected shortfall under asymptotic independence (English)
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7 May 2020
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asymptotic independence
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marginal expected shortfall
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tail dependence coefficient
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