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pro vyhledávání: '"Nguyen Khanh Le Ho"'
Several risk measures have been proposed in the literature, among them the marginal mean excess, defined as MME_p = \mathbb E[(Y^{(1)}-Q_1(1-p))_+|Y^{(2)}> Q_{2}(1-p)], provided \mathbb E|Y^{(1)}|< \infty, where (Y^{(1)}, Y^{(2)}) denotes a pair of r
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::43379e6713678e960fe23d1ce9170dee
https://hal.archives-ouvertes.fr/hal-03271590
https://hal.archives-ouvertes.fr/hal-03271590
Publikováno v:
Econometrics and Statistics
Econometrics and Statistics, Elsevier, In press, ⟨10.1016/j.ecosta.2021.09.006⟩
Econometrics and Statistics, Elsevier, In press, ⟨10.1016/j.ecosta.2021.09.006⟩
The marginal expected shortfall is an important risk measure in finance, which has been extended recently to the case where the random variables of main interest (Y^{(1)}, Y^{(2)}) are observed together with a covariate X\in \mathbb R^d. This leads t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2f49c75fefbb4974f5d3cc634b54fcef
https://hal.archives-ouvertes.fr/hal-02613135v3/document
https://hal.archives-ouvertes.fr/hal-02613135v3/document
Publikováno v:
Extremes
Extremes, Springer Verlag (Germany), 2021, 24, pp.797-847. ⟨10.1007/s10687-020-00403-1⟩
Goegebeur, Y, Guillou, A, Le Ho, N K & Qin, J 2021, ' Conditional marginal expected shortfall ', Extremes, vol. 24, no. 4, pp. 797-847 . https://doi.org/10.1007/s10687-020-00403-1
Extremes, Springer Verlag (Germany), 2021, 24, pp.797-847. ⟨10.1007/s10687-020-00403-1⟩
Goegebeur, Y, Guillou, A, Le Ho, N K & Qin, J 2021, ' Conditional marginal expected shortfall ', Extremes, vol. 24, no. 4, pp. 797-847 . https://doi.org/10.1007/s10687-020-00403-1
In the context of bivariate random variables $\left (Y^{(1)},Y^{(2)}\right )$ , the marginal expected shortfall, defined as $\mathbb {E}\left (Y^{(1)}|Y^{(2)} \ge Q_{2}(1-p)\right )$ for p small, where Q2 denotes the quantile function of Y(2), is an
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a2998abd38f34ac15b55874eed3bb685
https://hal.archives-ouvertes.fr/hal-02272392v4/file/ims-condmes-v4-Hal.pdf
https://hal.archives-ouvertes.fr/hal-02272392v4/file/ims-condmes-v4-Hal.pdf
Publikováno v:
Goegebeur, Y, Guillou, A, Ho, N K L & Qin, J 2020, ' Robust nonparametric estimation of the conditional tail dependence coefficient ', Journal of Multivariate Analysis, vol. 178, 104607 . https://doi.org/10.1016/j.jmva.2020.104607
Journal of Multivariate Analysis
Journal of Multivariate Analysis, Elsevier, 2020, 178, ⟨10.1016/j.jmva.2020.104607⟩
Journal of Multivariate Analysis
Journal of Multivariate Analysis, Elsevier, 2020, 178, ⟨10.1016/j.jmva.2020.104607⟩
International audience; We consider robust and nonparametric estimation of the coefficient of tail dependence in presence of random covariates. The estimator is obtained by fitting the extended Pareto distribution locally to properly transformed biva
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0a1bd89f25c038003949a73bba12b2d3
https://portal.findresearcher.sdu.dk/da/publications/c880ae76-82ea-4a41-b08d-ac611e0402a7
https://portal.findresearcher.sdu.dk/da/publications/c880ae76-82ea-4a41-b08d-ac611e0402a7
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