Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory

  title={Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory},
  author={Carlos Martins-Filho and Feng Yao},
Abstract. We propose nonparametric estimators for conditional value-at-risk (VaR) and expected shortfall (ES) associated with conditional distributions of a series of returns on a financial asset. The return series and the conditioning covariates, which may include lagged returns and other exogenous variables, are assumed to be strong mixing and follow a fully nonparametric conditional location-scale model. First stage nonparametric estimators for location and scale are combined with a… CONTINUE READING


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