Conditional VAR and Expected Shortfall: A New Functional Approach (Q5864357)
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scientific article; zbMATH DE number 7537817
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Conditional VAR and Expected Shortfall: A New Functional Approach |
scientific article; zbMATH DE number 7537817 |
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Conditional VAR and Expected Shortfall: A New Functional Approach (English)
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7 June 2022
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asymptotic properties
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conditional expected shortfall
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conditional value-at-risk
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functional process
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functional kernel estimator
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functional nonparametric estimation
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international financial index
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