Nonparametric estimation of conditional VaR and expected shortfall

Journal of Econometrics

Volumn 147, Issue 1, 2008, Pages 120-130

  Cai, Zongwu ^a,b   Wang, Xian ^a  

^a UNIVERSITY OF NORTH CAROLINA AT CHARLOTTE   (United States)

^b XIAMEN UNIVERSITY   (China)

Author keywords

Boundary effects; Empirical likelihood; Expected shortfall; Local linear estimation; Nonparametric smoothing; Value at risk; Weighted double kernel

Indexed keywords

COMPUTATIONAL METHODS; DISTRIBUTION FUNCTIONS; PROBABILITY DENSITY FUNCTION; TIME SERIES ANALYSIS; VALUE ENGINEERING;

BOUNDARY EFFECTS; EMPIRICAL LIKELIHOOD; EXPECTED SHORTFALL; LOCAL LINEAR ESTIMATION; NONPARAMETRIC SMOOTHING; VALUE-AT-RISK; WEIGHTED DOUBLE KERNEL;

RISK PERCEPTION;

EID: 55349101594     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2008.09.005     Document Type: Article

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