Estimation of the marginal expected shortfall: the mean when a related variable is extreme

By Juan-Juan Cai, John H. J. Einmahl, Laurens de Haan, Chen Zhou. 2012

126 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/0cdb7ec97660c49f2b930ead492b7289e0e66562

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Gilles Stupfler
2. Abdelaati Daouia
3. Stéphane Girard
4. Léopold Simar
5. Paul Wilson

In Finance

1. Gilles Stupfler
2. Abdelaati Daouia
3. Stéphane Girard
4. Laurent Gardes
5. Armelle Guillou

Citations in the corpus

• Extreme M-quantiles as risk measures: From $L^{1}$ to $L^{p}$ optimization (2019, methodology): “p τ 1 npp,αn;2q ppq in (16) behaves very similarly to q αnp2q in (13).”