ESTIMATION OF AND INFERENCE ABOUT THE EXPECTED SHORTFALL FOR TIME SERIES WITH INFINITE VARIANCE
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Publication:5403110
DOI10.1017/S0266466612000692zbMath1283.91156MaRDI QIDQ5403110
Publication date: 25 March 2014
Published in: Econometric Theory (Search for Journal in Brave)
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Economic time series analysis (91B84)
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