Estimation of the marginal expected shortfall: the mean when a related variable is extreme

Publisher: John Wiley & Sons Inc

E-ISSN: 1467-9868|77|2|417-442

ISSN: 1369-7412

Source: JOURNAL OF THE ROYAL STATISTICAL SOCIETY: SERIES B (STATISTICAL METHODOLOGY), Vol.77, Iss.2, 2015-03, pp. : 417-442

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Abstract