We derive consistency, asymptotic normality, and standard error estimation for the tail
conditional allocation, also known as the marginal expected shortfall, under minimal …

In stationary time series modelling, the autocovariance function (ACV) through its associated
autocorrelation function provides an appealing description of the dependence structure but …

Gini-type correlation coefficients have become increasingly important in a variety of research
areas, including economics, insurance and finance, where modelling with heavy-tailed …

Time reversibility is a fundamental hypothesis in time series. In this paper, Gini-based
equivalents for time series concepts that enable to construct a Gini-based test for time …

A Gini-based statistical test for a unit root is suggested. This test is based on the well-known
Dickey–Fuller test, where the ordinary least squares (OLS) regression is replaced by the …

Under minimal assumptions, we prove that an empirical estimator of the tail conditional
allocation (TCA), also known as the marginal expected shortfall, is consistent. Examples are …

A key conceptual and methodological tool in time series modeling is the autocovariance
function, which, however, presupposes finite variances and excludes heavy tailed …

The use of covariance is limited by the need of the finite second moment. This restriction
excludes the use of heavy tailed distributions and data. By developing methods that only …