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Nonparametric estimation of conditional VaR and expected shortfall
Boundary effects, Empirical likelihood, Expected shortfall, Local linear estimation,Nonparametric smoothing, Value-at-risk, Weighted double kernel
2011/4/2
This paper considers a new nonparametric estimation of conditional value-at-risk and expected shortfall functions. Conditional value-at-risk is estimated by inverting the weighted double kernel local ...