Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory
We propose nonparametric estimators for conditional value-at-risk (CVaR) and conditional expected shortfall (CES) 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 exoge...
| Autores principales: | , , |
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| Formato: | Journal Article |
| Lenguaje: | Inglés |
| Publicado: |
Cambridge University Press
2018
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| Materias: | |
| Acceso en línea: | https://hdl.handle.net/10568/145482 |
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