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NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY

Martins, C; Yao, F; Torero, M

Martins, C (reprint author), IFPRI, 2033 K St NW, Washington, DC 20006 USA.; Martins, C (reprint author), Univ Colorado, Dept Econ, Boulder, CO 80309 USA.

ECONOMETRIC THEORY, 2018; 34 (1): 23

Abstract

We propose nonparametric estimators for conditional value-at-risk (CVaR) and conditional expected shortfall (CES) associated with conditional distribu......

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