most citedNonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory

67 citations · 67 across the 1 of their papers we have counts for

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1 paper

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…