Carlos, Martins-Filho; Feng, Yao - In: Studies in Nonlinear Dynamics & Econometrics 10 (2006) 2, pp. 1-43
We propose an estimation procedure for value-at-risk (VaR) and expected shortfall (TailVaR) for conditional distributions of a time series of returns on a financial asset. Our approach combines a local polynomial estimator of conditional mean and volatility functions in a conditional...