Escanciano, Juan Carlos; Mayoral, Silvia - In: International Journal of Monetary Economics and Finance 1 (2008) 2, pp. 106-120
The paper proposes a simple estimator for a class of Conditional Expected Shortfall risk measures. The estimator is semiparametric, in the sense that it does not require a full specification of the conditional distribution of the data, and it is very simple to compute, being a least squares...
