Hwai-Chung Ho, Hung-Yin Chen, Henghsiu Tsai, NON-PARAMETRIC ESTIMATION OF CONDITIONAL TAIL EXPECTATION FOR LONG-HORIZON RETURNS, Statistica Sinica, Vol. 31, No. 1 (2021), pp. 547-569 ...

Foundations in distortion risk measures and tail conditional expectation (TCE) have been extended through multivariate approaches, which better capture the dependency structures inherent in modern ...