when estimating error quantiles. In order to prevent this efficiency loss in quantile estimation, we propose a quantile …. At the same time, the efficiency gain in error quantile estimation hinges on the efficiency of estimators of the variance … parameters. We show that the same conclusion applies to the estimation of conditional Expected Shortfall. Our comparison also …

In this paper, we propose a two-step less volatile value-at-risk (LVaR) estimation using the generalized nearly …-isotonic regression (GNIR) model. The first step of our LVaR estimation is to produce a VaR sequence under the generalized autoregressive …