Browsing Machakos University Journal of Science and Technology by Subject "Bootstrap"

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Nonparametric Prediction Interval for Conditional Expected Shortfall Admitting a Location-Scale Model using Bootstrap Method

Torsen, Emmanuel; Mwita, Peter N.; Mung’atu, Joseph K. (MksU Press, 2021-06)

In financial risk management, the expected shortfall is a popular risk measure which is often considered as an alternative to Value-at-Risk. It is defined as the conditional expected loss given that the loss is greater ...