Conditional VAR and Expected Shortfall: A New Functional Approach

DOI10.1080/07474938.2013.807107zbMath1491.62156OpenAlexW2007009065MaRDI QIDQ5864357

Alejandro Quintela-del-Río, Frédéric Ferraty

Publication date: 7 June 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2013.807107

zbMATH Keywords

asymptotic propertiesconditional value-at-riskconditional expected shortfallfunctional kernel estimatorfunctional processfunctional nonparametric estimationinternational financial index

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Functional data analysis (62R10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Uses Software

• RiskMetrics

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