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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...