Asymptotic behavior of the empirical conditional value-at-risk
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Dominique Guegan & Bertrand Hassani & Kehan Li, 2017. "Impact of multimodality of distributions on VaR and ES calculations," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01491990, HAL.
- Dominique Guegan & Bertrand Hassani & Kehan Li, 2017. "Impact of multimodality of distributions on VaR and ES calculations," Documents de travail du Centre d'Economie de la Sorbonne 17019, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
More about this item
KeywordsConditional value-at-risk; Berry–Essen bound; Law of iterated logarithm; Large deviation principle; Moderate deviation principle;
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