67 citations · 69 across the 4 of their papers we have counts for
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stat.ME2016★ 67 cited
Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory
Carlos Martins-Filho, Feng Yao, Maximo Torero
We propose nonparametric estimators for conditional value-at-risk (CVaR) and conditional expected shortfall (CES) associated with conditional distributions of a series of returns o…
math.ST2016★ 2 cited
Reducing bias in nonparametric density estimation via bandwidth dependent kernels: view
Kairat Mynbaev, Carlos Martins-Filho
We define a new bandwidth-dependent kernel density estimator that improves existing convergence rates for the bias, and preserves that of the variation, when the error is measured…