/nonparam-cvar

Nonparametric methods concerning to expected shortfall

Primary LanguageTeXMIT LicenseMIT

nonparam-cvar

This is a project perfomed in SKKU Nonparametric statistics course (STA5015). It aims at:

  • intensive review on existing statistical methods for an advanced topic not covered in the course
  • own simulation or real data simulation
  • development of new statistical methodology related to the course
  • new analysis of a real data set

Overview

I reviewed

Cai, Z., & Wang, X. (2008). Nonparametric estimation of conditional VaR and expected shortfall. Journal of Econometrics, 147(1), 120-130.

  • My ygeunkim/ceshat development package is the one to carry out this project.
  • If you are interested in this, check it out.

Results

There will be two presentations and one report.

  1. Brief slide
  2. Final presentation slide
  3. Final Report