This paper asks which aspects of a structural Nonparametric Instrumental Variables Regression (NPIVR) can be identified well and which ones cannot. It contributes to answering this question by characterising the identified set of linear continuous functionals of the NPIVR under norm constraints....

The paper proposes a simple estimator for a class of Conditional Expected Shortfall risk measures. The estimator is semiparametric, in the sense that it does not require a full specification of the conditional distribution of the data, and it is very simple to compute, being a least squares...

The Basel Committee on Banking Supervision (BIS) has recently sanctioned Expected Shortfall (ES) as the market risk measure to be used for banking regulatory purposes, replacing the well-known Value-at-Risk (VaR). This change is motivated by the appealing theoretical properties of ES as a...

Historical Simulation (HS) and its variant, the Filtered Historical Simulation (FHS), are the most widely used Value-at-Risk forecast methods at commercial banks. These forecast methods are traditionally evaluated by means of the unconditional backtest. This paper formally shows that the...

The paper introduces a n-consistent estimator of the probability density function of the response variable in a nonparametric regression model. The proposed estimator is shown to have a (uniform) asymptotic normal distribution, and it is computationally very simple to calculate. A Monte Carlo...

A new uniform expansion is introduced for sums of weighted kernel-based regression residuals from nonparametric or semiparametric models. This expansion is useful for deriving asymptotic properties of semiparametric estimators and test statistics with data-dependent bandwidths, random trimming,...

This article proposes a nonparametric test of monotonicity for conditional distributions and its moments. Unlike previous proposals, our method does not require smooth estimation of the derivatives of nonparametric curves. Distinguishing features of our approach are that critical values are...

This article proposes semi-parametric least squares estimation of parametric risk-return relationships, i.e. parametric restrictions between the conditional mean and the conditional variance of excess returns given a set of unobservable parametric factors. A distinctive feature of our estimator...

This article proposes semi-parametric least squares estimation of parametric risk-return relationships, i.e. parametric restrictions between the conditional mean and the conditional variance of excess returns given a set of unobservable parametric factors. A distinctive feature of our estimator...

This note proves the consistency and asymptotic normality of the quasi–maximum likelihood estimator (QMLE) of the parameters of a generalized autoregressive conditional heteroskedastic (GARCH) model with martingale difference centered squared innovations. The results are obtained under mild...