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On the conditional expectation of stochastic integrals

โœ Scribed by R.E Mortensen


Publisher
Elsevier Science
Year
1969
Tongue
English
Weight
652 KB
Volume
26
Category
Article
ISSN
0022-247X

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๐Ÿ“œ SIMILAR VOLUMES


On estimating the conditional expected s
โœ Franco Peracchi; Andrei V. Tanase ๐Ÿ“‚ Article ๐Ÿ“… 2008 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 492 KB

## Abstract Unlike the value at risk, the expected shortfall is a coherent measure of risk. In this paper, we discuss estimation of the expected shortfall of a random variable __Y__~__t__~ with special reference to the case when auxiliary information is available in the form of a set of predictors