Estimation of the Marginal Expected Shortfall: The Mean when a Related Variable is Extreme

Juan-Juan Cai, John Einmahl, L.F.M. de Haan and Chen Zhou ()
Additional contact information
L.F.M. de Haan: Tilburg University, Center For Economic Research

No 2012-080, Discussion Paper from Tilburg University, Center for Economic Research

Keywords: Asymptotic normality; extreme values; tail dependence (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
https://repository.tilburguniversity.edu/bitstream ... 599d2186183/download (application/pdf)

Related works:
Journal Article: Estimation of the marginal expected shortfall: the mean when a related variable is extreme (2015)
Working Paper: Estimation of the Marginal Expected Shortfall: The Mean when a Related Variable is Extreme (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:tiu:tiucen:e96e039f-cb6b-4cd5-805b-5611a64257f5

Access Statistics for this paper

More papers in Discussion Paper from Tilburg University, Center for Economic Research
Bibliographic data for series maintained by Richard Broekman ().