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Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/56647
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Belomestny, Denis | | en_US |
| dc.contributor.author | | Krätschmer, Volker | | en_US |
| dc.date.accessioned | | 2010-12-14 | | en_US |
| dc.date.accessioned | | 2012-04-05T16:12:48Z | | - |
| dc.date.available | | 2012-04-05T16:12:48Z | | - |
| dc.date.issued | | 2010 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/56647 | | - |
| dc.description.abstract | | In this paper we study the asymptotic properties of the canonical plug-in estimates for law-invariant coherent risk measures. Under rather mild conditions not relying on the explicit representation of the risk measure under consideration, we first prove a central limit theorem for independent identically distributed data and then extend it to the case of weakly dependent ones. Finally, a number of illustrating examples is presented. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | SFB 649, Economic Risk Berlin | | en_US |
| dc.relation.ispartofseries | | SFB 649 discussion paper 2010-052 | | en_US |
| dc.subject.jel | | D81 | | en_US |
| dc.subject.jel | | G32 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | law-invariant coherent risk measures | | en_US |
| dc.subject.keyword | | canonical plug-in estimates | | en_US |
| dc.subject.keyword | | functional central limit theorems | | en_US |
| dc.subject.keyword | | weak dependence | | en_US |
| dc.subject.stw | | Risikomanagement | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | Central limit theorems for law-invariant coherent risk measures | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 641641230 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | SFB 649 Discussion Papers, HU Berlin
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