Nonparametric Expectile Shortfall Regression for Complex Functional Structure
This paper treats the problem of risk management through a new conditional expected shortfall function. The new risk metric is defined by the expectile as the shortfall threshold. A nonparametric estimator based on the Nadaraya–Watson approach is constructed. The asymptotic property of the construct...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2024-09-01
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| Series: | Entropy |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1099-4300/26/9/798 |
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