Scientific Publication
Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory
Martins-Filho, Carlos; Yao, Feng; Torero, Maximo, 'Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory', Econometric Theory, vol. 34(1), pp. 23-67, Cambridge University Press (CUP), 2018