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Nonparametric Estimation Of Conditional Value-At-Risk And Expected Shortfall Based On Extreme Value Theory

Citations

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Cited by:

  1. Athanasios Triantafyllou & George Dotsis & Alexandros Sarris, 2020. "Assessing the Vulnerability to Price Spikes in Agricultural Commodity Markets," Journal of Agricultural Economics, Wiley Blackwell, vol. 71(3), pages 631-651, September.
  2. Gery Geenens & Richard Dunn, 2017. "A nonparametric copula approach to conditional Value-at-Risk," Papers 1712.05527, arXiv.org, revised Oct 2019.
  3. Emmanuel Torsen & Peter N. Mwita & Joseph K. Mungatu, 2018. "Nonparametric Estimation of the Error Functional of a Location-Scale Model," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 7(4), pages 1-1.
  4. Ji Hyung Lee & Yuya Sasaki & Alexis Akira Toda & Yulong Wang, 2021. "Fixed-k Tail Regression: New Evidence on Tax and Wealth Inequality from Forbes 400," Papers 2105.10007, arXiv.org, revised Sep 2022.
  5. Wilson Calmon & Eduardo Ferioli & Davi Lettieri & Johann Soares & Adrian Pizzinga, 2021. "An Extensive Comparison of Some Well‐Established Value at Risk Methods," International Statistical Review, International Statistical Institute, vol. 89(1), pages 148-166, April.
  6. Christis Katsouris, 2023. "Quantile Time Series Regression Models Revisited," Papers 2308.06617, arXiv.org, revised Aug 2023.
  7. Santos, Douglas G. & Candido, Osvaldo & Tófoli, Paula V., 2022. "Forecasting risk measures using intraday and overnight information," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
  8. Daouia, Abdelaati & Stupfler, Gilles & Usseglio-Carleve, Antoine, 2022. "Inference for extremal regression with dependent heavy-tailed data," TSE Working Papers 22-1324, Toulouse School of Economics (TSE), revised 29 Aug 2023.
  9. Emmanuel Torsen & Peter N. Mwita & Joseph K. Mung’atu, 2019. "A Three-Step Nonparametric Estimation of Conditional Value-At-Risk Admitting a Location-Scale Model," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 8(4), pages 1-1.
  10. Martins-Filho, Carlos & Yao, Feng & Torero, Maximo, 2018. "Nonparametric Estimation Of Conditional Value-At-Risk And Expected Shortfall Based On Extreme Value Theory," Econometric Theory, Cambridge University Press, vol. 34(1), pages 23-67, February.
  11. Yuya Sasaki & Yulong Wang, 2022. "Fixed-k Inference for Conditional Extremal Quantiles," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(2), pages 829-837, April.
  12. Yao, Feng & Hernandez, Manuel A., 2026. "When prices spike: Identifying excessive volatility in fertilizer markets," Economics Letters, Elsevier, vol. 259(C).
  13. Cui, Zhenyu & Kirkby, J. Lars & Nguyen, Duy, 2021. "A data-driven framework for consistent financial valuation and risk measurement," European Journal of Operational Research, Elsevier, vol. 289(1), pages 381-398.
  14. Katerina Rigana & Ernst C. Wit & Samantha Cook, 2024. "Navigating Market Turbulence: Insights from Causal Network Contagion Value at Risk," Papers 2402.06032, arXiv.org.
  15. Stéphane Girard & Gilles Claude Stupfler & Antoine Usseglio-Carleve, 2021. "Extreme Conditional Expectile Estimation in Heavy-Tailed Heteroscedastic Regression Models," Post-Print hal-03306230, HAL.
  16. Julia S. Mehlitz & Benjamin R. Auer, 2021. "Time‐varying dynamics of expected shortfall in commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(6), pages 895-925, June.
  17. Dingshi Tian & Zongwu Cai & Ying Fang, 2018. "Econometric Modeling of Risk Measures: A Selective Review of the Recent Literature," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201807, University of Kansas, Department of Economics, revised Oct 2018.
  18. Daouia, Abdelaati & Hachem, Joseph & Stupfler, Gilles, 2026. "Extreme value inference for heterogeneous heavy-tailed data: A derandomization theory," TSE Working Papers 26-1727, Toulouse School of Economics (TSE).
  19. Yannick Hoga, 2023. "The Estimation Risk in Extreme Systemic Risk Forecasts," Papers 2304.10349, arXiv.org.
  20. Nicola Loperfido & Tomer Shushi, 2023. "Optimal Portfolio Projections for Skew-Elliptically Distributed Portfolio Returns," Journal of Optimization Theory and Applications, Springer, vol. 199(1), pages 143-166, October.
  21. Denis Chetverikov & Yukun Liu & Aleh Tsyvinski, 2022. "Weighted-average quantile regression," Papers 2203.03032, arXiv.org.
  22. Yan Fang & Jian Li & Yinglin Liu & Yunfan Zhao, 2023. "Semiparametric estimation of expected shortfall and its application in finance," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(4), pages 835-851, July.
  23. Chetverikov, Denis & Liu, Yukun & Tsyvinski, Aleh, 2025. "Weighted-average quantile regression," Journal of Econometrics, Elsevier, vol. 252(PA).
  24. Alexander Heinemann & Sean Telg, 2018. "A Residual Bootstrap for Conditional Expected Shortfall," Papers 1811.11557, arXiv.org.
  25. Litimein, Ouahiba & Laksaci, Ali & Ait-Hennani, Larbi & Mechab, Boubaker & Rachdi, Mustapha, 2024. "Asymptotic normality of the local linear estimator of the functional expectile regression," Journal of Multivariate Analysis, Elsevier, vol. 202(C).
  26. Ma, Yaolan & Wei, Bo, 2025. "Extreme conditional tail risk inference in ARMA–GARCH models," Journal of Economic Dynamics and Control, Elsevier, vol. 177(C).
  27. Li, Yizhou & Polak, Paweł, 2025. "Asymptotic normality of the Conditional Value-at-Risk based Pickands estimator," Statistics & Probability Letters, Elsevier, vol. 223(C).
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