ygeunkim / nonparam-cvar

Nonparametric methods concerning to expected shortfall

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