MODEL-FREE INFERENCE FOR TAIL RISK MEASURES

DOI10.1017/S0266466614000802zbMath1441.62906OpenAlexW3121664901MaRDI QIDQ2786682

Ke-Li Xu

Publication date: 23 February 2016

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466614000802

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

Related Items (2)

Inference of local regression in the presence of nuisance parameters ⋮ Inference for conditional value-at-risk of a predictive regression

Cites Work

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