Estimation of Distortion Risk Measures

  title={Estimation of Distortion Risk Measures},
  author={H. Tsukahara},
  journal={Journal of Financial Econometrics},
  • H. Tsukahara
  • Published 2014
  • Mathematics
  • Journal of Financial Econometrics
  • For the class of distortion risk measures, a natural estimator has the form of L-statistics. In this article, we investigate the large sample properties of general L-statistics based on weakly dependent data and apply them to our estimator. Under certain regularity conditions, which are somewhat weaker than the ones found in the literature, we prove that the estimator is strongly consistent and asymptotically normal. Furthermore, we give a consistent estimator for its asymptotic variance using… CONTINUE READING
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