Conditional VAR and expected shortfall : a new functional approach
Year of publication: |
2016
|
---|---|
Authors: | Ferraty, Frédéric ; Quintela del Río, Alejandro |
Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 0731-1761, ZDB-ID 797463-2. - Vol. 35.2016, 1/4, p. 263-292
|
Subject: | Asymptotic properties | Conditional expected shortfall | Conditional value-at-risk | Functional process | Functional kernel estimator | Functional nonparametric estimation | International financial index | Risikomaß | Risk measure | Nichtparametrisches Verfahren | Nonparametric statistics | Schätztheorie | Estimation theory |
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