Search Results - subject:"Conditional expected shortfall"

Conditional Value-at-Risk : semiparametric estimation and inference

Wang, Chuan-Sheng; Zhao, Zhibiao - In: Journal of econometrics 195 (2016) 1, pp. 86-103

Persistent link: https://www.econbiz.de/10011705234

Nonparametric Estimation of Conditional Expected Shortfall

SCAILLET, Olivier - Swiss Finance Institute - 2004

We consider a nonparametric method to estimate conditional expected shortfalls, i.e. conditional expected losses knowing that losses are larger than a given loss quantile. We derive the asymptotic properties of kernal estimators of conditional expected shortfalls in the context of a stationary...

Persistent link: https://www.econbiz.de/10005248410

Semiparametric estimation of dynamic conditional expected shortfall models

Escanciano, Juan Carlos; Mayoral, Silvia - In: International Journal of Monetary Economics and Finance 1 (2008) 2, pp. 106-120

The paper proposes a simple estimator for a class of Conditional Expected Shortfall risk measures. The estimator is …

Persistent link: https://www.econbiz.de/10005543993

Semiparametric estimation of dynamic conditional expected shortfall models

Escanciano, Juan Carlos; Mayoral, Silvia - In: International Journal of Monetary Economics and Finance 1 (2008) 2, pp. 106-120

The paper proposes a simple estimator for a class of Conditional Expected Shortfall risk measures. The estimator is …

Persistent link: https://www.econbiz.de/10008538688