Nonparametric estimation of conditional VaR and expected shortfall (Q299264): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Removed claim: author (P16): Item:Q1640687 |
||
| Property / author | |||
| Property / author: Zong-Wu Cai / rank | |||
Revision as of 02:14, 29 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Nonparametric estimation of conditional VaR and expected shortfall |
scientific article |
Statements
Nonparametric estimation of conditional VaR and expected shortfall (English)
0 references
22 June 2016
0 references
boundary effects
0 references
empirical likelihood
0 references
expected shortfall
0 references
local linear estimation
0 references
nonparametric smoothing
0 references
value-at-risk
0 references
weighted double kernel
0 references
