Nonparametric estimation of conditional VaR and expected shortfall (Q299264): Difference between revisions
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| Property / Mathematics Subject Classification ID: 91G70 / rank | |||
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| Property / zbMATH DE Number: 6596548 / rank | |||
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boundary effects | |||
| Property / zbMATH Keywords: boundary effects / rank | |||
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empirical likelihood | |||
| Property / zbMATH Keywords: empirical likelihood / rank | |||
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expected shortfall | |||
| Property / zbMATH Keywords: expected shortfall / rank | |||
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local linear estimation | |||
| Property / zbMATH Keywords: local linear estimation / rank | |||
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nonparametric smoothing | |||
| Property / zbMATH Keywords: nonparametric smoothing / rank | |||
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value-at-risk | |||
| Property / zbMATH Keywords: value-at-risk / rank | |||
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weighted double kernel | |||
| Property / zbMATH Keywords: weighted double kernel / rank | |||
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Revision as of 21:33, 27 June 2023
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)
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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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