Conditional VAR and expected shortfall: a new functional approach
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asymptotic propertiesconditional expected shortfallconditional value-at-riskfunctional kernel estimatorfunctional nonparametric estimationfunctional processinternational financial index
Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Functional data analysis (62R10) Statistical methods; risk measures (91G70)
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Cites work
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Cited in
(10)- An \texttt{R} package for value at risk and expected shortfall
- The functional \(k\mathrm{NN}\) estimator of the conditional expectile: uniform consistency in number of neighbors
- A generalized error distribution copula-based method for portfolios risk assessment
- On the non-existence of conditional value-at-risk under heavy tails and short sales
- Nonparametric estimation of conditional VaR and expected shortfall
- Two-step kernel estimation of expected shortfall for strong mixing time series
- On estimating the conditional expected shortfall
- ESTIMATION RISK IN GARCH VaR AND ES ESTIMATES
- Asymptotic results of the randomly censored kernel-type expectile regression estimator for functional dependent data
- Nonparametric expectile shortfall regression for functional data
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