Martins-Filho, Carlos; Yao, Feng; Torero, Maximo - Department of Economics, College of Business and Economics - 2012
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...