A new non-parametric estimation of the expected shortfall for dependent financial losses (Q6556777)
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scientific article; zbMATH DE number 7866552
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A new non-parametric estimation of the expected shortfall for dependent financial losses |
scientific article; zbMATH DE number 7866552 |
Statements
A new non-parametric estimation of the expected shortfall for dependent financial losses (English)
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17 June 2024
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value-at-risk (VaR)
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expected shortfall (ES)
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\(\alpha\)-mixing
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nonparametric smoothing
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kernel estimation
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