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International Food Policy Research Institute

United States

7 papers here126 citations across 7
fields
  • physics.chem-ph2
  • econ.EM1
  • econ.GN1
  • math.ST1
  • q-fin.ST1
  • stat.ME1
ROR 03pxz9p87OpenAlex

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20092022
most citedNonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory

67 citations

researchers with a paper here

Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.

  • A. Cruz2 · h 13
  • Carlos Martins-Filho2 · h 16
  • F. Battin‐Leclerc2 · h 65
  • J. Anderlohr2 · h 6
  • R. Bounaceur2 · h 35
  • A. Stein1 · h 62
  • C. Pera1 · h 19
  • E. Puentes1 · h 14
  • Fan Wang1 · h 7
  • Feng Yao1 · h 12
  • Flávio Cunha1 · h 12
  • F. Traoré1 · h 7
collaborating institutions
  • IFP Énergies nouvellesFR2 papers
  • Academy of ArtsEG1 paper
  • Cornell UniversityUS1 paper
  • Emory UniversityUS1 paper
  • Guangdong University of Foreign StudiesCN1 paper
  • International Fine Particle Research InstituteUS1 paper
  • Kazakh-British Technical UniversityKZ1 paper
  • Middlebury CollegeUS1 paper
  • Rice UniversityUS1 paper
  • University of ChileCL1 paper
  • University of Colorado BoulderUS1 paper
  • University of Colorado SystemUS1 paper
Showing stat.MEShow all

1 paper · 1 filter

stat.ME2016★ 67 cited

Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory

Carlos Martins-Filho, Feng Yao, Maximo Torero

We propose nonparametric estimators for conditional value-at-risk (CVaR) and conditional expected shortfall (CES) associated with conditional distributions of a series of returns o…

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