Expected Shortfall Semi-Scale M-Estimator for t-Distributions

Shengyu Zhang, R. Douglas Martin

Type: Article

Publication Date: 2023-01-01

Citations: 0

DOI: https://doi.org/10.2139/ssrn.4605604

View Publication

Locations

SSRN Electronic Journal - View

Similar Works

Action	Title	Year	Authors
+ PDF Chat	Expected Shortfall Semi-Scale T-Distribution M-Estimator	2023	R. Douglas Martin Shengyu Zhang
+	Nonparametric versus Parametric Expected Shortfall	2016	R. Douglas Martin Shengyu Zhang
+	Two Equivalent Parametric Expected Shortfall Formulas for T-Distributions	2016	Shengyu Zhang
+	A Simple and Robust Approach for Expected Shortfall Estimation	2018	Zhibin Pan Tao Pang Yang Zhao
+	A simple and robust approach for expected shortfall estimation	2021	Zhibin Pan Tao Pang Yang Zhao
+	Nonparametric estimation of Expected Shortfall	2017	André Filipe Correia Gomes
+	Estimation of the trace of the scale matrix of a multivariate t-model under a squared error loss	1999	Anvar H. Joarder Ghulam Kabir Beg
+	Estimation of Expectile‐Based Marginal Expected Shortfall Under Asymptotic Independence	2024	Tianyi Zhang Liujun Chen Jingyu Ji
+ PDF Chat	Multiday expected shortfall under generalized t distributions: evidence from global stock market	2020	Robina Iqbal Ghulam Sorwar Rose Baker Taufiq Choudhry
+	The skew generalized<i>t</i>distribution as the scale mixture of a skew exponential power distribution and its applications in robust estimation	2009	Olçay Arslan Alί İ. Genç
+	Nonparametric estimation of expected shortfall via Bahadur-type representation and Berry–Esséen bounds	2021	Yi Wu Wei Yu N. Balakrishnan Xuejun Wang
+	Accelerating the Multivariate SKEW T Parameter Estimation	2019	Rui Zhou Daniel P. Palomar
+ PDF Chat	Semi-nonparametric Estimation of Operational Risk Capital with Extreme Loss Events	2021	Heng Z. Chen Stephen R. Cosslett
+	Nonparametric estimation of expected shortfall for α-mixing financial losses	2023	Xuejun Wang Yi Wu Wei Wang
+	Multivariate tail conditional expectation for scale mixtures of skew-normal distribution	2019	Seyedjavad Ahmadi Mousavi Vahid Amirzadeh Mohsen Rezapour Ayob Sheikhy
+ PDF Chat	Influence Functions for Risk and Performance Estimators	2021	Shengyu Zhang R. Douglas Martin Anthony Christidis
+	Quasi Maximum Likelihood Estimation of Value at Risk and Expected Shortfall	2021	Leopoldo Catania Alessandra Luati
+	Robust Estimation and Inference for Expected Shortfall Regression with Many Regressors	2022	Xuming He Kean Ming Tan Wen‐Xin Zhou
+ PDF Chat	Robust estimation and inference for expected shortfall regression with many regressors	2023	Xuming He Kean Ming Tan Wen‐Xin Zhou
+	Bounded risk per unit cost index constraint for sequential estimation of the mean in a two-parameter exponential distribution	2022	Eisa Mahmoudi Zahra Nemati Ashkan Khalifeh

Works That Cite This (0)

Action	Title	Year	Authors

Works Cited by This (8)

Action	Title	Year	Authors
+	Robustness of the student t based M-estimator	1997	André Lucas
+	The Influence Curve and its Role in Robust Estimation	1974	Frank R. Hampel
+	Robust Statistics: The Approach Based on Influence Functions	1987	David Ruppert Frank R. Hampel Elvezio Ronchetti Peter J. Rousseeuw Werner A. Stahel
+	Nonparametric versus Parametric Expected Shortfall	2016	R. Douglas Martin Shengyu Zhang
+	Two Equivalent Parametric Expected Shortfall Formulas for T-Distributions	2016	Shengyu Zhang
+	Robust Statistics	2009	Peter J. Huber Elvezio Ronchetti
+ PDF Chat	Robust Statistical Modeling Using the t Distribution	1989	Kenneth Lange Roderick J. A. Little Jeremy M. G. Taylor
+	Robust Statistics	2006	Ricardo A. Maronna R. Douglas Martin Vı́ctor J. Yohai