Nonparametric estimation of conditional VaR and expected shortfall (Q299264)
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scientific article; zbMATH DE number 6596548
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| English | Nonparametric estimation of conditional VaR and expected shortfall |
scientific article; zbMATH DE number 6596548 |
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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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0.8806655406951904
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0.8692554831504822
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0.8593286275863647
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0.8578086495399475
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