Two-step kernel estimation of expected shortfall for strong mixing time series

MaRDI QIDQ3169943zbMATH OpenFDO

Authors Jing Liu, Yongyuan Yao, Shanchao Yang

Publication date 29 September 2011

zbMATH Keywords

asymptotic normalitykernel estimation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20)

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Cited in

(4)

• Nonparametric estimation of expected shortfall
• Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
• Nonparametric kernel estimation of expected shortfall under negatively associated sequences
• Estimation of and inference about the expected shortfall for time series with infinite variance

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