Pages that link to "Item:Q299264"

The following pages link to Nonparametric estimation of conditional VaR and expected shortfall (Q299264):

Displaying 33 items.

• Averaged extreme regression quantile (Q262533) (← links)
• Nonparametric estimation of conditional VaR and expected shortfall (Q299264) (← links)
• Conditional value-at-risk: semiparametric estimation and inference (Q311646) (← links)
• A smoothing stochastic algorithm for quantile estimation (Q395982) (← links)
• Asymptotically efficient estimation of the conditional expected shortfall (Q433233) (← links)
• Optimal multivariate quota-share reinsurance: a nonparametric mean-CVaR framework (Q506091) (← links)
• Nonparametric estimates for conditional quantiles of time series (Q1621960) (← links)
• Linking Tukey's legacy to financial risk measurement (Q1659149) (← links)
• Predicting extreme value at risk: nonparametric quantile regression with refinements from extreme value theory (Q1927187) (← links)
• Dynamic semiparametric models for expected shortfall (and value-at-risk) (Q2000869) (← links)
• A data-driven framework for consistent financial valuation and risk measurement (Q2028832) (← links)
• Some recent developments in modeling quantile treatment effects (Q2194707) (← links)
• Two nonparametric approaches to mean absolute deviation portfolio selection model (Q2244212) (← links)
• Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk (Q2256182) (← links)
• Nonparametric kernel estimation of CVaR under \(\alpha\)-mixing sequences (Q2306884) (← links)
• Econometric modeling of risk measures: a selective review of the recent literature (Q2314141) (← links)
• Estimation of conditional quantiles from data with additional measurement errors (Q2317284) (← links)
• Asymptotic behavior of Mean-CVaR portfolio selection model under nonparametric framework (Q2408890) (← links)
• Local quantile regression (Q2434697) (← links)
• A nonparametric approach to calculating value-at-risk (Q2442522) (← links)
• MODEL-FREE INFERENCE FOR TAIL RISK MEASURES (Q2786682) (← links)
• Risk forecasting in (T)GARCH models with uncorrelated dependent innovations (Q4555065) (← links)
• NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY (Q4599616) (← links)
• A smooth non-parametric estimation framework for safety-first portfolio optimization (Q4619492) (← links)
• RIGHT-TAIL INFORMATION IN FINANCIAL MARKETS (Q4979935) (← links)
• Bayesian CV@R/super-quantile regression (Q5036539) (← links)
• Nonparametric kernel estimation of expected shortfall under negatively associated sequences (Q5077216) (← links)
• NONPARAMETRIC DENSITY ESTIMATION BY B-SPLINE DUALITY (Q5221310) (← links)
• Consistency of recursive nonparametric Kernel estimates for independent functional data (Q5226479) (← links)
• Measures of Residual Risk with Connections to Regression, Risk Tracking, Surrogate Models, and Ambiguity (Q5258948) (← links)
• SPECIFICATION TEST FOR CONDITIONAL DISTRIBUTION WITH FUNCTIONAL DATA (Q5389957) (← links)
• ESTIMATION OF AND INFERENCE ABOUT THE EXPECTED SHORTFALL FOR TIME SERIES WITH INFINITE VARIANCE (Q5403110) (← links)
• Estimation of complier expected shortfall treatment effects with a binary instrumental variable (Q6152629) (← links)