Semiparametric estimation of expected shortfall and its application

MaRDI QIDQ5129322zbMATH OpenFDO

Authors Xin Guan, Yong Zhou

Publication date 27 October 2020

zbMATH Keywords

\(\alpha\)-mixingexpected shortfallmean residual life model

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cited in

(8)

• A regression analysis of expected shortfall
• Dynamic semiparametric models for expected shortfall (and value-at-risk)
• Dual representation of expectile-based expected shortfall and its properties
• Estimation of multiple period expected shortfall and median shortfall for risk management
• Nonparametric estimation of expected shortfall
• Nonparametric estimation of \(100(1-p)\%\) expected shortfall: \(p\to 0\) as sample size is increased
• Semiparametric varying-coefficient expectile model for estimating value at risk on dependent samples
• A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures

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