Nonparametric Estimation of Expected Shortfall

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Chen, S. X. “Nonparametric Estimation of Expected Shortfall”. Journal of Financial Econometrics, vol. 6, no. 1, 2007, pp. 87-107, https://doi.org/10.1093/jjfinec/nbm019.
Chen, S. X. (2007). Nonparametric Estimation of Expected Shortfall. Journal of Financial Econometrics, 6(1), 87-107. https://doi.org/10.1093/jjfinec/nbm019
Chen SX. Nonparametric Estimation of Expected Shortfall. Journal of Financial Econometrics. 2007;6(1):87-107.
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Social Sciences
Commerce
Business
Social Sciences
Economic theory
Demography
Economics as a science
Social Sciences
Finance
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Citations Analysis
Category Category Repetition
Social Sciences: Commerce: Business30
Social Sciences: Economic theory. Demography: Economics as a science30
Science: Mathematics26
Social Sciences: Finance21
Science: Mathematics: Probabilities. Mathematical statistics18
Social Sciences: Statistics14
Social Sciences: Commerce: Business: Personnel management. Employment management6
Technology: Manufactures: Production management. Operations management5
Social Sciences: Commerce: Business: Accounting. Bookkeeping4
Science: Mathematics: Instruments and machines: Electronic computers. Computer science3
Technology: Technology (General): Industrial engineering. Management engineering2
Technology: Engineering (General). Civil engineering (General)2
Technology: Electrical engineering. Electronics. Nuclear engineering: Electronics2
Social Sciences: Industries. Land use. Labor: Management. Industrial management1
Science: Astronomy: Astrophysics1
Science: Physics1
Technology: Electrical engineering. Electronics. Nuclear engineering: Electric apparatus and materials. Electric circuits. Electric networks1
Technology: Mechanical engineering and machinery1
Technology: Technology (General): Industrial engineering. Management engineering: Information technology1
Technology: Technology (General): Industrial engineering. Management engineering: Applied mathematics. Quantitative methods1
The category Social Sciences: Commerce: Business 30 is the most commonly referenced area in studies that cite this article. The first research to cite this article was titled On Testing the Equality of the Multiple Sharpe Ratios, with Application on the Evaluation of Ishares and was published in 2006. The most recent citation comes from a 2024 study titled A new non-parametric estimation of the expected shortfall for dependent financial losses. This article reached its peak citation in 2021, with 8 citations. It has been cited in 43 different journals, 4% of which are open access. Among related journals, the SSRN Electronic Journal cited this research the most, with 17 citations. The chart below illustrates the annual citation trends for this article.
Citations used this article by year