Positive-part moments via characteristic functions, and more general expressions
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DOI: 10.1007/s10959-016-0709-1
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References listed on IDEAS
- Pinelis, Iosif, 2015. "Characteristic function of the positive part of a random variable and related results, with applications," Statistics & Probability Letters, Elsevier, vol. 106(C), pages 281-286.
- Iosif Pinelis, 2011. "Positive-Part Moments via the Fourier–Laplace Transform," Journal of Theoretical Probability, Springer, vol. 24(2), pages 409-421, June.
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- Iosif Pinelis, 2014. "An Optimal Three-Way Stable and Monotonic Spectrum of Bounds on Quantiles: A Spectrum of Coherent Measures of Financial Risk and Economic Inequality," Risks, MDPI, vol. 2(3), pages 1-44, September.
- Rockafellar, R. Tyrrell & Uryasev, Stanislav, 2002. "Conditional value-at-risk for general loss distributions," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1443-1471, July.
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- Liang Wang & Weixuan Xia, 2020. "Power-type derivatives for rough volatility with jumps," Papers 2008.10184, arXiv.org, revised Nov 2021.
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Keywords
Characteristic functions; Positive-part moments; Absolute moments; Truncated moments; Fractional derivatives;All these keywords.
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