The article considers nonparametric estimation of value-at-risk (VaR) and associated standard error estimation for dependent financial returns. Theoretical properties of the kernel VaR estimator are investigated in the context of dependence. The presence of dependence affects the variance of the...

The paper considers nonparametric estimation of Value at Risk (VaR) and associated standard error estimation for dependent financial return series. The presence of dependence affects the variance of the VaR estimates and has to be taken into consideration in order to obtain adequate assessment...

This paper considers parameter estimation for continuous-time diffusion processes which are commonly used to model dynamics of financial securities including interest rates. To understand why the drift parameters are more difficult to estimate than the diffusion parameter, as observed in...

The expected shortfall is an increasingly popular risk measure in financial risk management and it possesses the desired sub-additivity property, which is lacking for the value at risk (VaR). We consider two nonparametric expected shortfall estimators for dependent financial losses. One is a...

Estimating the integrated covariance matrix (ICM) from high frequency financial trading data is crucial to reflect the volatilities and covariations of the underlying trading instruments. Such an objective is difficult due to contaminated data with microstructure noises, asynchronous trading...