【摘要】 Chen等提出了逐日盯市在险价值，并在严平稳ρ-混合相依情形下，证明了其经验估计量的大样本性质.基于逐日盯市在险价值，定义了逐日盯市条件尾期望，并在时序满足严平稳强混合条件时，分别证明了经验估计量的强相合性及渐近正态性.更多还原

【Abstract】 Chen et al.(2018) proposed the mark to market value at risk, and proved the large sample properties of its empirical estimator when the time series satisfies the strictly stationary ρ-mixing condition. Based on the mark to market value at risk, this paper defines the mark to market conditional tail expectation, and proves the strong consistency as well as the asymptotic normality of their empirical estimators respectively on the premise of strictly stationary α-mixing sequence.更多还原