Nonparametric expectile shortfall regression for functional data
This work addresses the issue of financial risk analysis by introducing a novel expected shortfall (ES) regression model, which employs expectile regression to define the shortfall threshold in financial risk management. We develop a nonparametric estimator for this model and provide mathematical su...
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| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
De Gruyter
2025-04-01
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| Series: | Demonstratio Mathematica |
| Subjects: | |
| Online Access: | https://doi.org/10.1515/dema-2025-0125 |
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