Asymptotically efficient estimation of the conditional expected shortfall

DOI10.1016/j.csda.2011.02.020zbMath1243.62043OpenAlexW2131580584MaRDI QIDQ433233

Andrei V. Tanase, Samantha Leorato, Franco Peracchi

Publication date: 13 July 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: http://www.eief.it/files/2012/09/wp-13-asymptotically-efficient-estimation-of-the-conditional-expected-shortfall.pdf

zbMATH Keywords

quantile regression

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Monte Carlo methods (65C05)

Related Items (7)

Bayesian CV@R/super-quantile regression ⋮ Nonparametric kernel estimation of expected shortfall under negatively associated sequences ⋮ Statistically efficient construction of \(a\)-risk-minimizing portfolio ⋮ Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk ⋮ Expectile and quantile regression—David and Goliath? ⋮ Nonparametric kernel estimation of CVaR under \(\alpha\)-mixing sequences ⋮ Measures of Residual Risk with Connections to Regression, Risk Tracking, Surrogate Models, and Ambiguity

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