Nonparametric estimation of expected shortfall via Bahadur-type representation and Berry–Esséen bounds

Journal of Statistical Computation and Simulation ◽

10.1080/00949655.2021.1966791 ◽

2021 ◽

pp. 1-23

Author(s):

Yi Wu ◽

Wei Yu ◽

Narayanaswamy Balakrishnan ◽

Xuejun Wang

Keyword(s):

Nonparametric Estimation ◽

Expected Shortfall ◽

Type Representation

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Nonparametric estimation of conditional VaR and expected shortfall

Journal of Econometrics ◽

10.1016/j.jeconom.2008.09.005 ◽

2008 ◽

Vol 147 (1) ◽

pp. 120-130 ◽

Author(s):

Zongwu Cai ◽

Xian Wang

Keyword(s):

Nonparametric Estimation ◽

Expected Shortfall

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Multivariate Nonparametric Estimation of Value at Risk and Expected Shortfall for Nonlinear Returns Using Extreme Value Theory

SSRN Electronic Journal ◽

10.2139/ssrn.2147760 ◽

2011 ◽

Author(s):

Ryan Brauchler

Keyword(s):

At Risk ◽

Nonparametric Estimation ◽

Extreme Value Theory ◽

Value At Risk ◽

Value Theory ◽

Extreme Value ◽

Expected Shortfall

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Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall

Mathematical Finance ◽

10.1111/j.0960-1627.2004.00184.x ◽

2004 ◽

Vol 14 (1) ◽

pp. 115-129 ◽

Author(s):

O. Scaillet

Keyword(s):

Sensitivity Analysis ◽

Nonparametric Estimation ◽

Expected Shortfall

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Nonparametric estimation of conditional expected shortfall admitting a location-scale model

Applied Mathematical Sciences ◽

10.12988/ams.2019.99135 ◽

2019 ◽

Vol 13 (22) ◽

pp. 1049-1060

Author(s):

Emmanuel Torsen ◽

Peter N. Mwita ◽

Joseph K. Mung'atu

Keyword(s):

Nonparametric Estimation ◽

Expected Shortfall ◽

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Nonparametric Estimation of Expected Shortfall

Journal of Financial Econometrics ◽

10.1093/jjfinec/nbm019 ◽

2007 ◽

Vol 6 (1) ◽

pp. 87-107 ◽

Author(s):

S. X. Chen

Keyword(s):

Nonparametric Estimation ◽

Expected Shortfall

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Nonparametric estimation of 100(1 − p)% expected shortfall: p → 0 as sample size is increased

Communications in Statistics - Simulation and Computation ◽

10.1080/03610918.2016.1152370 ◽

2017 ◽

Vol 47 (2) ◽

pp. 338-352 ◽

Author(s):

Santanu Dutta ◽

Suparna Biswas

Keyword(s):

Sample Size ◽

Nonparametric Estimation ◽

Expected Shortfall

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Nonparametric estimation and testing linear hypotheses in the linear regression model

Optimization ◽

10.1080/02331937508842249 ◽

1975 ◽

Vol 6 (2) ◽

pp. 269-283

Author(s):

Jana Jureková

Keyword(s):

Linear Regression ◽

Regression Model ◽

Nonparametric Estimation ◽

Linear Regression Model ◽

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Nonparametric estimation of the quadratic functional of multimodal probability density

Metrologiya ◽

10.32446/0132-4713.2019-3-17-2910.32446/ ◽

2019 ◽

pp. 17-29

Author(s):

А. V. Lapko ◽

V. A. Lapko

Keyword(s):

Probability Density ◽

Nonparametric Estimation ◽

Quadratic Functional

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Nonparametric Estimation for Regulation Models

Annals of Economics and Statistics ◽

10.15609/annaeconstat2009.131.0045 ◽

2018 ◽

pp. 45

Author(s):

Andreea Enache ◽

Jean-Pierre Florens

Keyword(s):

Nonparametric Estimation

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Nonparametric estimation of uncertain components in nonlinear dynamical system modelling

1997 European Control Conference (ECC) ◽

10.23919/ecc.1997.7082244 ◽

1997 ◽

Author(s):

N. Hilgert ◽

R. Senoussi ◽

J.P. Vila

Keyword(s):

Dynamical System ◽

Nonparametric Estimation ◽

Nonlinear Dynamical System ◽

System Modelling ◽

Nonlinear Dynamical

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