A Weissman-type estimator of the conditional marginal expected shortfall
| Autor: | Armelle Guillou, Yuri Goegebeur, Nguyen Khanh Le Ho, Jing Qin |
|---|---|
| Přispěvatelé: | Department of Mathematics and Computer Science [Odense] (IMADA), University of Southern Denmark (SDU), Institut de Recherche Mathématique Avancée (IRMA), Université de Strasbourg (UNISTRA)-Centre National de la Recherche Scientifique (CNRS), ANR-19-CE40-0013,ExtremReg,Régression extrême avec applications à l'économétrie, l'environnement et à la finance(2019), Centre National de la Recherche Scientifique (CNRS)-Université de Strasbourg (UNISTRA), ANR-19-CE40-0013,ExtremReg,Extremal Regression with Applications to Econometrics, Environment and Finance(2019) |
| Jazyk: | angličtina |
| Rok vydání: | 2021 |
| Předmět: |
Statistics and Probability
Economics and Econometrics 050208 finance Risk measure 05 social sciences extrapolation Estimator Conditional marginal expected shortfall Sample (statistics) 01 natural sciences 010104 statistics & probability Expected shortfall [MATH.MATH-ST]Mathematics [math]/Statistics [math.ST] 0502 economics and business Covariate Econometrics Range (statistics) 0101 mathematics Statistics Probability and Uncertainty Pareto-type distribution Extreme value theory Random variable Mathematics |
| Zdroj: | Econometrics and Statistics Econometrics and Statistics, Elsevier, In press, ⟨10.1016/j.ecosta.2021.09.006⟩ |
| ISSN: | 2452-3062 |
| DOI: | 10.1016/j.ecosta.2021.09.006⟩ |
| Popis: | The marginal expected shortfall is an important risk measure in finance, which has been extended recently to the case where the random variables of main interest (Y^{(1)}, Y^{(2)}) are observed together with a covariate X\in \mathbb R^d. This leads to the concept of conditional marginal expected shortfall. It is defined as \theta_{p}(x_0)=\mathbb E[Y^{(1)}| Y^{(2)}\geq Q_{Y^{(2)}}(1-p|x_0); x_0], where p is small and Q_{Y^{(2)}}(\cdot|x_0) denotes the conditional quantile function of Y^{(2)}, given X=x_0. In this paper, we propose an estimator for \theta_p(x_0) allowing extrapolation outside the Y^{(2)}-data range, i.e., valid for p |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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