Nonparametric estimation of conditional VaR and expected shortfall

DOI10.1016/j.jeconom.2008.09.005zbMath1429.62385OpenAlexW2000185500MaRDI QIDQ299264

Xian Wang, Zong-Wu Cai

Publication date: 22 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.09.005

zbMATH Keywords

boundary effectsvalue-at-riskempirical likelihoodexpected shortfalllocal linear estimationnonparametric smoothingweighted double kernel

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Nonparametric estimation (62G05)

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Uses Software

• CAViaR

Cites Work

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• Estimation of conditional densities and sensitivity measures in nonlinear dynamical systems
• Local Linear Quantile Regression
• Efficient Estimation of a Distribution Function under Quadrant Dependence
• Regression Quantiles
• Semiparametric estimation of Value at Risk
• Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
• Methods for Estimating a Conditional Distribution Function
• MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
• REGRESSION QUANTILES FOR TIME SERIES
• Nonparametric Quantile Estimations for Dynamic Smooth Coefficient Models
• Weighted Nadaraya-Watson regression estimation

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