EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"nonparametric location-scale models"
Narrow search

Narrow search

Year of publication
Subject
All
Value-at-risk 1 expected shortfall 1 extreme value theory 1 nonparametric location-scale models 1 strong mixing 1
Online availability
All
Free 1
Type of publication
All
Book / Working Paper 1
Language
All
Undetermined 1
Author
All
Martins-Filho, Carlos 1 Torero, Maximo 1 Yao, Feng 1
Institution
All
Department of Economics, College of Business and Economics 1
Published in...
All
Working Papers / Department of Economics, College of Business and Economics 1
Source
All
RePEc 1
Showing 1 - 1 of 1
Cover Image
Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory
Martins-Filho, Carlos; Yao, Feng; Torero, Maximo - Department of Economics, College of Business and Economics - 2012
We propose nonparametric estimators for conditional value-at-risk (VaR) and expected shortfall (ES) 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...
Persistent link: https://www.econbiz.de/10010796087
Saved in:
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...