Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/56647
Authors: 
Belomestny, Denis
Krätschmer, Volker
Year of Publication: 
2010
Series/Report no.: 
SFB 649 discussion paper 2010-052
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.
Subjects: 
law-invariant coherent risk measures
canonical plug-in estimates
functional central limit theorems
weak dependence
JEL: 
D81
G32
Document Type: 
Working Paper

Files in This Item:
File
Size
498.57 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.