MODEL-FREE INFERENCE FOR TAIL RISK MEASURES (Q2786682): Difference between revisions

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+Empirical likelihood-based inference for nonparametric recurrent diffusions
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+Q2756704
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+Q3125064
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+Analysis of Financial Time Series
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+Efficient Tests for an Autoregressive Unit Root
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+Empirical likelihood ratio confidence regions
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+Empirical likelihood ratio confidence intervals for a single functional
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+Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
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+Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
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+Q2709279
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+Nonparametric estimation of conditional VaR and expected shortfall
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+Miscellanea. Bartlett adjustment of empirical discrepancy statistics
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+Local Polynomial Estimation of Regression Functions for Mixing Processes
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+Empirical likelihood as a goodness-of-fit measure
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+ESTIMATION OF AND INFERENCE ABOUT THE EXPECTED SHORTFALL FOR TIME SERIES WITH INFINITE VARIANCE
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+Coherent Measures of Risk
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+Empirical likelihood confidence intervals for local linear smoothers
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+Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
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+On average derivative quantile regression
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+Consistency in Nonlinear Econometric Models: A Generic Uniform Law of Large Numbers
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+Assessing value at risk with CARE, the conditional autoregressive expectile models
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+Some automated methods of smoothing time-dependent data
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+Autoregressive Conditional Density Estimation
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+Approximating conditional distribution functions using dimension reduction
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+A General Definition of the Lorenz Curve
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+NONPARAMETRIC INFERENCE FOR CONDITIONAL QUANTILES OF TIME SERIES
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+Nonlinear time series. Nonparametric and parametric methods
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+Empirical likelihood and general estimating equations
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+EMPIRICAL-LIKELIHOOD-BASED CONFIDENCE INTERVALS FOR CONDITIONAL VARIANCE IN HETEROSKEDASTIC REGRESSION MODELS
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+On estimating the conditional expected shortfall
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+Single-index quantile regression
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