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

@@ Property / author @@
-Zong-Wu Cai
@@ Property / author: Zong-Wu Cai / rank @@
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+expected shortfall
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+Trending time-varying coefficient time series models with serially correlated errors
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+Efficient Estimation of a Distribution Function under Quadrant Dependence
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+Nonparametric estimation of conditional VaR and expected shortfall
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+Nonparametric Quantile Estimations for Dynamic Smooth Coefficient Models
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+MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC  VOLATILITY MODELS
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+Multivariate wavelet-based shape-preserving estimation for dependent observations
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+Estimation of conditional densities and sensitivity measures in nonlinear dynamical systems
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+Methods for Estimating a Conditional Distribution Function
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+ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS
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+Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
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+Local Linear Quantile Regression
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+Publication:299264