Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen:
https://hdl.handle.net/10419/56647
Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Belomestny, Denis | en |
dc.contributor.author | Krätschmer, Volker | en |
dc.date.accessioned | 2010-12-14 | - |
dc.date.accessioned | 2012-04-05T16:12:48Z | - |
dc.date.available | 2012-04-05T16:12:48Z | - |
dc.date.issued | 2010 | - |
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 |
dc.language.iso | eng | en |
dc.publisher | |aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlin | en |
dc.relation.ispartofseries | |aSFB 649 Discussion Paper |x2010-052 | en |
dc.subject.jel | D81 | en |
dc.subject.jel | G32 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | law-invariant coherent risk measures | en |
dc.subject.keyword | canonical plug-in estimates | en |
dc.subject.keyword | functional central limit theorems | en |
dc.subject.keyword | weak dependence | en |
dc.subject.stw | Risikomanagement | en |
dc.subject.stw | Theorie | en |
dc.title | Central limit theorems for law-invariant coherent risk measures | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 641641230 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
Datei(en):
Publikationen in EconStor sind urheberrechtlich geschützt.