Estimation of the marginal expected shortfall: the mean...

Estimation of the marginal expected shortfall: the mean when a related variable is extreme

Cai, Juan-Juan, Einmahl, John H. J., de Haan, Laurens, Zhou, Chen
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Volume:
77
Language:
english
Journal:
Journal of the Royal Statistical Society: Series B (Statistical Methodology)
DOI:
10.1111/rssb.12069
Date:
March, 2015
File:
PDF, 1.33 MB
english, 2015
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