Marginal expected shortfall inference under multivariate regular variation

Journal of Statistical Planning and Inference 2026 Open access

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Authors: Simone A. Padoan, Stefano Rizzelli, Matteo Schiavone

DOI: 10.1016/j.jspi.2026.106445

Cited by: 0

References: 45

Fields of Study & Subjects

Financial Risk and Volatility Modeling Market Dynamics and Volatility Complex Systems and Time Series Analysis

References 45