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 ()
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L.F.M. de Haan: Tilburg University, School of Economics and Management

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Date: 2012
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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)
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