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  • 标题:Bootstrapping the Expected Shortfall
  • 本地全文:下载
  • 作者:Shuxia Sun ; Fuxia Cheng
  • 期刊名称:Theoretical Economics Letters
  • 印刷版ISSN:2162-2078
  • 电子版ISSN:2162-2086
  • 出版年度:2018
  • 卷号:08
  • 期号:04
  • 页码:685-698
  • DOI:10.4236/tel.2018.84046
  • 语种:English
  • 出版社:Scientific Research Publishing
  • 摘要:The expected shortfall is a popular risk measure in financial risk management. It is defined as the conditional expected loss given that the loss is greater than a given high quantile. We derive the asymptotic properties of the blocking bootstrap estimators for the expected shortfall of a stationary process under strong mixing conditions.
  • 关键词:High Quantile;Risk Measure;Moving Block Bootstrap;Nonparametric Estimation;Strong Mixing Sample Quantile
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