Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory

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dc.creatorMartins-Filho, Carlos
dc.creatorYao, Feng
dc.creatorTorero, Máximo
dc.date2012
dc.date2024-10-01T13:55:46Z
dc.date2024-10-01T13:55:46Z
dc.date.accessioned2026-06-27T14:56:37Z
dc.formatapplication/pdf
dc.identifierhttps://hdl.handle.net/10568/153197
dc.identifier.urihttp://hdl.handle.net/123456789/90122
dc.languageen
dc.rightsLimited Access
dc.sourceMartins-Filho, Carlos; Yao, Feng; Torero, Máximo 2012. Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory.
dc.subjectmodels
dc.subjectstrong mixing
dc.titleNonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory
dc.typeWorking Paper

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Instituto Internacional de Investigación sobre Políticas Alimentarias (IFPRI)