Assessing the difference between integrated quantiles and integrated cumulative distribution functions
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DOI: 10.1016/j.insmatheco.2023.04.002
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References listed on IDEAS
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More about this item
Keywords
Quantile; Value-at-Risk; Integrated Value-at-Risk; Expected Shortfall; Model uncertainty; Model misspecification; Statistical inference;All these keywords.
JEL classification:
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
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