Open AccessEstimation of Conditional Weighted Expected Shortfall under Adjusted Extreme Quantile Autoregression
Author(s) -
Martin M. Kithinji,
Peter N. Mwita,
Ananda Kube
Publication year - 2021
Publication title -
journal of mathematical finance
Language(s) - English
Resource type - Journals
eISSN - 2162-2434
pISSN - 2162-2442
DOI - 10.4236/jmf.2021.113021
Subject(s) - quantile , expected shortfall , estimator , econometrics , consistency (knowledge bases) , value at risk , mathematics , extreme value theory , statistics , economics , risk management , finance , geometry