JOURNAL ARTICLE

Nonparametric estimation of conditional VaR and expected shortfall

Zongwu CaiXian Wang

Year: 2008 Journal:   Journal of Econometrics Vol: 147 (1)Pages: 120-130   Publisher: Elsevier BV
Keywords:
Mathematics Estimator Nonparametric statistics Asymptotic distribution Conditional probability distribution Kernel regression Expected shortfall Akaike information criterion Kernel (algebra) Statistics Conditional expectation Conditional variance Econometrics Applied mathematics Autoregressive conditional heteroskedasticity

Metrics

125
Cited By
3.55
FWCI (Field Weighted Citation Impact)
39
Refs
0.94
Citation Normalized Percentile
Is in top 1%
Is in top 10%

Citation History

Topics

Financial Risk and Volatility Modeling
Social Sciences →  Economics, Econometrics and Finance →  Finance
Statistical Methods and Inference
Physical Sciences →  Mathematics →  Statistics and Probability
Risk and Portfolio Optimization
Social Sciences →  Decision Sciences →  Management Science and Operations Research

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