Cai, J., Einmahl, J., De Haan, L. and Zhou, C. (2014). Estimation of the marginal expected shortfall: the mean when a related variable is extreme Journal of the Royal Statistical Society. Series B. Statistical Methodology, 77(2):417--442.
24 key publications
filtered by:
-
-
Zu, Y. and Boswijk, H. (2014). Estimating spot volatility with high-frequency financial data Journal of Econometrics, 181(2):117--135. -
Lucas, A., Schwaab, B. and Zhang, X. (2014). Conditional euro area sovereign default risk Journal of Business and Economic Statistics, 32(2):271--284. -
Ju, Y., Chun, Y. and van den Brink, J.R. (2014). Auctioning and Selling Positions: A Noncooperative Approach to Queueing Conflicts Journal of Economic Theory, 153(September):33--45.