Nonparametric estimation of conditional VaR and expected shortfall (Q299264): Difference between revisions

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Revision as of 04:43, 12 July 2024

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Nonparametric estimation of conditional VaR and expected shortfall
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    Nonparametric estimation of conditional VaR and expected shortfall (English)
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    22 June 2016
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    boundary effects
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    empirical likelihood
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    expected shortfall
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    local linear estimation
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    nonparametric smoothing
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    value-at-risk
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    weighted double kernel
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