most citedAsymptotics for the expected shortfall

7 citations · 7 across the 1 of their papers we have counts for

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1 paper

math.ST2016★ 7 cited

Asymptotics for the expected shortfall

Tobias Zwingmann, Hajo Holzmann

We derive the joint asymptotic distribution of empirical quantiles and expected shortfalls under general conditions on the distribution of the underlying observations. In particula…