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Nonparametric methods for volatility density estimation
stochastic volatility models deconvolution density estimation kernel estimator wavelets minimum contrast estimation
2010/11/2
Stochastic volatility modelling of nancial processes has become increasingly popular. The proposed models usually contain a stationary volatility process. We will motivate and review several nonparam...
Nonparametric Methods for Estimating Conditional VaR and Expected Shortfall
Bandwidth selection Boundary effects Coherent risk measurements Empirical likelihood Expected shortfall Local liner estimation Nonparametric smoothing Quantile regression Time series Value-at-risk Weighted double kernel
2011/4/6
In this article we propose a new nonparametric estimation method to estimate the
conditional value-at-risk and expected shortfall functions based on the weighted double
kernel local linear estimator...