Nonparametric estimation of expected shortfall

Journal of Financial Econometrics

Volumn 6, Issue 1, 2008, Pages 87-107

  Chen, Song Xi ^a  

^a Department of Statistics Center for Statistics and Applications in Forensic Evidence Iowa State University 2438 Osborn Dr Ames   (United States)

Author keywords

Expected shortfall; Kernel estimator; Risk measures; Value at risk; Weakly dependent

Indexed keywords

EID: 37849041370     PISSN: 14798409     EISSN: 14798417     Source Type: Journal    
DOI: 10.1093/jjfinec/nbm019     Document Type: Article

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