Nonparametric estimation of conditional VaR and expected shortfall

Zongwu Cai; Xian Wang

doi:10.1016/j.jeconom.2008.09.005

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Nonparametric estimation of conditional VaR and expected shortfall

Zongwu Cai Xian Wang

Year: 2008 Journal: Journal of Econometrics Vol: 147 (1)Pages: 120-130 Publisher: Elsevier BV

DOI: 10.1016/j.jeconom.2008.09.005

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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

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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

Nonparametric estimation of conditional VaR and expected shortfall

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