搜索结果: 1-2 共查到“经济学 Expected shortfall”相关记录2条 . 查询时间(0.078 秒)
Nonparametric estimation of conditional VaR and expected shortfall
Boundary effects, Empirical likelihood, Expected shortfall, Local linear estimation,Nonparametric smoothing, Value-at-risk, Weighted double kernel
font style='font-size:12px;'>
2011/4/2
This paper considers a new nonparametric estimation of conditional value-at-risk and expected shortfall functions. Conditional value-at-risk is estimated by inverting the weighted double kernel local ...
Nonparametric Methods for Estimating Conditional VaR and Expected Shortfall
Bandwidth selection Boundary effects Coherent risk measurements Empirical likelihood Expected shortfall Local liner estimation Nonparametric smoothing Quantile regression Time series Value-at-risk Weighted double kernel
font style='font-size:12px;'>
2011/4/6
In this article we propose a new nonparametric estimation method to estimate the
conditional value-at-risk and expected shortfall functions based on the weighted double
kernel local linear estimator...