Efficient Nested Estimation of CoVaR: A Decoupled Approach
- Nifei Lin ,
Nifei Lin
[email protected]https://orcid.org/0009-0005-8295-5189
Research Institute for Interdisciplinary Sciences, School of Information Management and Engineering, Shanghai University of Finance and Economics, Shanghai 200433, China
- Yingda Song ,
Corresponding Author
Yingda Song
[email protected]https://orcid.org/0000-0002-2184-4697
Antai College of Economics and Management, Shanghai Jiao Tong University, Shanghai 200030, China
- L. Jeff Hong
Corresponding Author
L. Jeff Hong
[email protected]https://orcid.org/0000-0001-7011-4001
School of Management, Fudan University, Shanghai 200433, China; and Department of Industrial and Systems Engineering, University of Minnesota, Minneapolis, Minnesota 55455
Nifei Lin
[email protected]https://orcid.org/0009-0005-8295-5189
Research Institute for Interdisciplinary Sciences, School of Information Management and Engineering, Shanghai University of Finance and Economics, Shanghai 200433, China
Corresponding Author
Yingda Song
[email protected]https://orcid.org/0000-0002-2184-4697
Antai College of Economics and Management, Shanghai Jiao Tong University, Shanghai 200030, China
Corresponding Author
L. Jeff Hong
[email protected]https://orcid.org/0000-0001-7011-4001
School of Management, Fudan University, Shanghai 200433, China; and Department of Industrial and Systems Engineering, University of Minnesota, Minneapolis, Minnesota 55455
