Nonparametric estimation of conditional VaR and expected shortfall
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expected shortfallempirical likelihoodvalue-at-risklocal linear estimationnonparametric smoothingboundary effectsweighted double kernel
Nonparametric estimation (62G05) 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) Statistical methods; risk measures (91G70)
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Cites work
- scientific article; zbMATH DE number 991833 (Why is no real title available?)
- scientific article; zbMATH DE number 1324089 (Why is no real title available?)
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 3349105 (Why is no real title available?)
- Coherent measures of risk
- ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS
- Efficient Estimation of a Distribution Function under Quadrant Dependence
- Estimation of conditional densities and sensitivity measures in nonlinear dynamical systems
- Local Linear Quantile Regression
- MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
- Methods for Estimating a Conditional Distribution Function
- Multivariate wavelet-based shape-preserving estimation for dependent observations
- Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
- Nonparametric estimation of conditional VaR and expected shortfall
- Nonparametric quantile estimations for dynamic smooth coefficient models
- REGRESSION QUANTILES FOR TIME SERIES
- Regression Quantiles
- Semiparametric estimation of Value at Risk
- Trending time-varying coefficient time series models with serially correlated errors
- Weighted Nadaraya-Watson regression estimation
Cited in
(53)- Time series quantile regression using random forests
- Deep learning for enhanced index tracking
- Model-free inference for tail risk measures
- Nonparametric estimates for conditional quantiles of time series
- Nonparametric estimation of expected shortfall
- Estimation of complier expected shortfall treatment effects with a binary instrumental variable
- Predicting extreme value at risk: nonparametric quantile regression with refinements from extreme value theory
- Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
- A nonparametric approach to calculating value-at-risk
- Local likelihood density estimation and value-at-risk
- High-Order Conditional Quantile Estimation Based on Nonparametric Models of Regression
- Linking Tukey's legacy to financial risk measurement
- Nonparametric estimation of conditional VaR and expected shortfall
- A data-driven framework for consistent financial valuation and risk measurement
- Nonparametric estimation of operational value-at-risk (OpVaR)
- Measures of Residual Risk with Connections to Regression, Risk Tracking, Surrogate Models, and Ambiguity
- Right-tail information in financial markets
- Asymptotically efficient estimation of the conditional expected shortfall
- Nonparametric kernel estimation of CVaR under \(\alpha\)-mixing sequences
- Non-parametric estimation of conditional tail expectation for long-horizon returns
- A smooth non-parametric estimation framework for safety-first portfolio optimization
- Inference for joint quantile and expected shortfall regression
- Some recent developments in modeling quantile treatment effects
- Strong consistency of tail value-at-risk estimator and corresponding general results under widely orthant dependent samples
- Risk forecasting in (T)GARCH models with uncorrelated dependent innovations
- A smoothing stochastic algorithm for quantile estimation
- NONPARAMETRIC DENSITY ESTIMATION BY B-SPLINE DUALITY
- Two nonparametric approaches to mean absolute deviation portfolio selection model
- NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY
- Conditional value-at-risk and average value-at-risk: estimation and asymptotics
- scientific article; zbMATH DE number 5524271 (Why is no real title available?)
- SPECIFICATION TEST FOR CONDITIONAL DISTRIBUTION WITH FUNCTIONAL DATA
- Bayesian CV@R/super-quantile regression
- Nonparametric estimation of \(100(1-p)\%\) expected shortfall: \(p\to 0\) as sample size is increased
- Econometric modeling of risk measures: a selective review of the recent literature
- Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk
- Consistency of recursive nonparametric kernel estimates for independent functional data
- Conditional value-at-risk: semiparametric estimation and inference
- Estimation of conditional quantiles from data with additional measurement errors
- Conditional VAR and expected shortfall: a new functional approach
- Local linear double and asymmetric kernel estimation of conditional quantiles
- Local quantile regression
- Nonlinear expectile regression with application to value-at-risk and expected shortfall estimation
- Nonparametric kernel estimation of expected shortfall under negatively associated sequences
- On estimating the conditional expected shortfall
- Optimal multivariate quota-share reinsurance: a nonparametric mean-CVaR framework
- Averaged extreme regression quantile
- Mean-CVaR portfolio selection: a nonparametric estimation framework
- Nonparametric conditional autoregressive expectile model via neural network with applications to estimating financial risk
- Nonparametric estimation of value-at-risk
- Asymptotic behavior of Mean-CVaR portfolio selection model under nonparametric framework
- Estimation of and inference about the expected shortfall for time series with infinite variance
- Dynamic semiparametric models for expected shortfall (and value-at-risk)
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