Nonparametric estimation of expected shortfall
SX Chen - Journal of financial econometrics, 2008 - academic.oup.com
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 …
and it possesses the desired sub-additivity property, which is lacking for the value at risk …
Nonparametric inference of value-at-risk for dependent financial returns
SX Chen, CY Tang - Journal of financial econometrics, 2005 - academic.oup.com
The article considers nonparametric estimation of value-at-risk (VaR) and associated
standard error estimation for dependent financial returns. Theoretical properties of the kernel …
standard error estimation for dependent financial returns. Theoretical properties of the kernel …
Nonparametric estimation of expected shortfall via Bahadur-type representation and Berry–Esséen bounds
Y Wu, W Yu, N Balakrishnan… - Journal of Statistical …, 2022 - Taylor & Francis
The expected shortfall is an important risk measure in financial risk management. In this
paper, we study the Bahadur-type representation of an improved nonparametric expected …
paper, we study the Bahadur-type representation of an improved nonparametric expected …
Modeling Istanbul Stock Exchange-100 daily stock returns: a Nonparametric GARCH approach
Autoregressive conditional heteroscedasticity (ARCH) and Generalized ARCH (GARCH)
models with various alternatives have been widely analyzed in the finance literature in order …
models with various alternatives have been widely analyzed in the finance literature in order …
Runs tests for assessing volatility forecastability in financial time series
F Bellini, G Figà-Talamanca - European journal of operational research, 2005 - Elsevier
In this work we refine a nonparametric methodology firstly applied in Christoffersen and
Diebold [Review of Economics and Statistics 82 (2000) 12] for assessing volatility …
Diebold [Review of Economics and Statistics 82 (2000) 12] for assessing volatility …
基于CVaR 两步核估计量的投资组合管理
黄金波， 李仲飞， 姚海祥 - 管理科学学报, 2018 - jmsc.tju.edu.cn
国家自然科学基金重点资助项目(71231008); 国家自然科学基金资助项目(71471045);
中国博士后科学基金特别资助项目(2015T80896); 中国博士后科学基金资助项目 …
中国博士后科学基金特别资助项目(2015T80896); 中国博士后科学基金资助项目 …
Nonparametric Estimation of Expected Shortfall
AFC Gomes - 2017 - search.proquest.com
Abstract The Expected Shortfall is an increasingly popular risk measure in financial risk
management. This work seeks to study the asymptotic statistical properties of two …
management. This work seeks to study the asymptotic statistical properties of two …