Estimation of the marginal expected shortfall
The mean when a related variable is extreme
Journal Article
(2015)
Author(s)
J. Cai (TU Delft - Statistics)
John H.J. Einmahl (Tilburg University)
Laurens de Haan (Universidade de Lisboa)
Chen Zhou ( Erasmus Universiteit Rotterdam, De Nederlandsche Bank, Tinbergen Institute)
Research Group
Statistics
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https://resolver.tudelft.nl/uuid:fe869f76-2ac0-4a5d-8ce2-3fdc5ecb316a
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Publication Year
2015
Language
English
Research Group
Statistics
Issue number
2
Volume number
77
Pages (from-to)
417-442
Abstract
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