Asymptotically efficient estimation of the conditional expected shortfall
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Publication:433233
DOI10.1016/j.csda.2011.02.020zbMath1243.62043OpenAlexW2131580584MaRDI QIDQ433233
Andrei V. Tanase, Samantha Leorato, Franco Peracchi
Publication date: 13 July 2012
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: http://www.eief.it/files/2012/09/wp-13-asymptotically-efficient-estimation-of-the-conditional-expected-shortfall.pdf
Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Monte Carlo methods (65C05)
Related Items (7)
Bayesian CV@R/super-quantile regression ⋮ Nonparametric kernel estimation of expected shortfall under negatively associated sequences ⋮ Statistically efficient construction of \(a\)-risk-minimizing portfolio ⋮ Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk ⋮ Expectile and quantile regression—David and Goliath? ⋮ Nonparametric kernel estimation of CVaR under \(\alpha\)-mixing sequences ⋮ Measures of Residual Risk with Connections to Regression, Risk Tracking, Surrogate Models, and Ambiguity
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