Pages that link to "Item:Q4599616"

The following pages link to NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY (Q4599616):

Displaying 23 items.

• Nonparametric estimation of conditional VaR and expected shortfall (Q299264) (← links)
• Conditional value-at-risk: semiparametric estimation and inference (Q311646) (← links)
• Asymptotically efficient estimation of the conditional expected shortfall (Q433233) (← links)
• Nonlinear expectile regression with application to value-at-risk and expected shortfall estimation (Q1660129) (← links)
• A data-driven framework for consistent financial valuation and risk measurement (Q2028832) (← links)
• Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models (Q2073711) (← links)
• The functional \(k\mathrm{NN}\) estimator of the conditional expectile: uniform consistency in number of neighbors (Q2076038) (← links)
• On the non-existence of conditional value-at-risk under heavy tails and short sales (Q2267378) (← links)
• Improving precipitation forecasts using extreme quantile regression (Q2283052) (← links)
• Nonparametric kernel estimation of CVaR under \(\alpha\)-mixing sequences (Q2306884) (← links)
• Econometric modeling of risk measures: a selective review of the recent literature (Q2314141) (← links)
• Bayesian bandwidth estimation for local linear fitting in nonparametric regression models (Q2700530) (← links)
• Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics (Q3144391) (← links)
• On estimating the conditional expected shortfall (Q3552644) (← links)
• Quantile Estimation of Regression Models with GARCH-X Errors (Q5155187) (← links)
• Estimation of Value-at-Risk and Expected Shortfall based on Nonlinear Models of Return Dynamics and Extreme Value Theory (Q5452737) (← links)
• SIMULTANEOUS CONFIDENCE BANDS FOR CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL (Q6078284) (← links)
• An Extensive Comparison of Some Well‐Established Value at Risk Methods (Q6088259) (← links)
• Uncertainty Comparison Between Value-at-Risk and Expected Shortfall (Q6122965) (← links)
• Asymptotic normality of the local linear estimator of the functional expectile regression (Q6536683) (← links)
• Asymptotic behaviors of the VaR and CVaR estimates for widely orthant dependent sequences (Q6589367) (← links)
• Fixed-<i>k</i> Inference for Conditional Extremal Quantiles (Q6620906) (← links)
• Risk Analysis via Generalized Pareto Distributions (Q6620908) (← links)