The Korean Journal of Applied Statistics

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Table. 3.

Table. 3.

λ, CTEα+¯, CTEα¯, E(VaRα¯) when κ = 1.0

λCTEα+¯CTEα¯E(VaRα¯)
ρ = 0.60.0731(1.6033, 1.7150, 1.6037)(1.6293, 1.7445, 1.6293)(1.2744, 1.3395, 1.2785)
ρ = 0.30.0841(1.3329, 1.4223, 1.3329)(1.3580, 1.4492, 1.3580)(1.0589, 1.1286, 1.0589)
ρ = 0.00.0759(1.1139, 1.1139, 1.1139)(1.1312, 1.1312, 1.1312)(0.9023, 0.9023, 0.9023)
ρ = −0.30.0760(0.9171, 0.8095, 0.9174)(0.9308, 0.8246, 0.9308)(0.7512, 0.6267, 0.7549)
ρ = −0.60.0768(0.7010, 0.5276, 0.7003)(0.7143, 0.5339, 0.7144)(0.5415, 0.4518, 0.5306)
Korean J Appl Stat 2016;29:1201-12 https://doi.org/10.5351/KJAS.2016.29.7.1201
© 2016 Korean J Appl Stat