Xie, Shangyu; Zhou, Yong; Wan, Alan T. K. - In: Journal of Business & Economic Statistics 32 (2014) 4, pp. 576-592
This article develops a nonparametric varying-coefficient approach for modeling the expectile-based value at risk (EVaR). EVaR has an advantage over the conventional quantile-based VaR (QVaR) of being more sensitive to the magnitude of extreme losses. EVaR can also be used for calculating QVaR...