Corpus ID: 153182516

Nonparametric Estimation of Conditional Expected Shortfall

@inproceedings{Scaillet2004NonparametricEO,
  title={Nonparametric Estimation of Conditional Expected Shortfall},
  author={O. Scaillet},
  year={2004}
}
We consider a nonparametric method to estimate conditional expected shortfalls, i.e. conditional expected losses knowing that losses are larger than a given loss quantile. We derive the asymptotic properties of kernal estimators of conditional expected shortfalls in the context of a stationary process satisfying strong mixing conditions. An empirical illustration is given for several stock index returns, namely CAC40, DAX30, S&P500, DJI, and Nikkei225. 
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