Nonparametric Estimation of Expected Shortfall
نویسندگان
چکیده
منابع مشابه
Nonparametric Estimation of Expected Shortfall
The paper evaluates the properties of nonparametric estimators of the expected shortfall, an increasingly popular risk measure in financial risk management. It is found that the existing kernel estimator based on a single bandwidth does not offer variance reduction, which is surprising considering that kernel smoothing reduces the variance of estimators for the value at risk and the distributio...
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Abstract. We propose nonparametric estimators for conditional value-at-risk (VaR) and expected shortfall (ES) associated with conditional distributions of a series of returns on a financial asset. The return series and the conditioning covariates, which may include lagged returns and other exogenous variables, are assumed to be strong mixing and follow a fully nonparametric conditional location...
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ژورنال
عنوان ژورنال: Journal of Financial Econometrics
سال: 2007
ISSN: 1479-8409,1479-8417
DOI: 10.1093/jjfinec/nbm019