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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| Acceso en línea: | https://hdl.handle.net/10568/145482 |
| _version_ | 1855523429509234688 |
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| author | Martins-Filho, Carlos Yao, Feng Torero, Máximo |
| author_browse | Martins-Filho, Carlos Torero, Máximo Yao, Feng |
| author_facet | Martins-Filho, Carlos Yao, Feng Torero, Máximo |
| author_sort | Martins-Filho, Carlos |
| collection | Repository of Agricultural Research Outputs (CGSpace) |
| description | 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 exogenous variables, are assumed to be strong mixing and follow a nonparametric conditional location-scale model. First stage nonparametric estimators for location and scale are combined with a generalized Pareto approximation for distribution tails proposed by Pickands (1975, Annals of Statistics 3, 119–131) to give final estimators for CVaR and CES. We provide consistency and asymptotic normality of the proposed estimators under suitable normalization. We also present the results of a Monte Carlo study that sheds light on their finite sample performance. Empirical viability of the model and estimators is investigated through a backtesting exercise using returns on future contracts for five agricultural commodities. |
| format | Journal Article |
| id | CGSpace145482 |
| institution | CGIAR Consortium |
| language | Inglés |
| publishDate | 2018 |
| publishDateRange | 2018 |
| publishDateSort | 2018 |
| publisher | Cambridge University Press |
| publisherStr | Cambridge University Press |
| record_format | dspace |
| spelling | CGSpace1454822025-02-24T06:45:27Z Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory Martins-Filho, Carlos Yao, Feng Torero, Máximo models econometrics econometric models value-at-risk 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 exogenous variables, are assumed to be strong mixing and follow a nonparametric conditional location-scale model. First stage nonparametric estimators for location and scale are combined with a generalized Pareto approximation for distribution tails proposed by Pickands (1975, Annals of Statistics 3, 119–131) to give final estimators for CVaR and CES. We provide consistency and asymptotic normality of the proposed estimators under suitable normalization. We also present the results of a Monte Carlo study that sheds light on their finite sample performance. Empirical viability of the model and estimators is investigated through a backtesting exercise using returns on future contracts for five agricultural commodities. 2018-12-11 2024-06-21T09:04:33Z 2024-06-21T09:04:33Z Journal Article https://hdl.handle.net/10568/145482 en https://hdl.handle.net/10568/153197 Open Access Cambridge University Press Martins-Filho, Carlos; Yao, Feng; and Torero, Maximo. 2018. Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory. Econometric Theory 34(1): 23-67. https://doi.org/10.1017/S0266466616000517 |
| spellingShingle | models econometrics econometric models value-at-risk Martins-Filho, Carlos Yao, Feng Torero, Máximo Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory |
| title | Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory |
| title_full | Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory |
| title_fullStr | Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory |
| title_full_unstemmed | Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory |
| title_short | Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory |
| title_sort | nonparametric estimation of conditional value at risk and expected shortfall based on extreme value theory |
| topic | models econometrics econometric models value-at-risk |
| url | https://hdl.handle.net/10568/145482 |
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