Abstract:Measuring risk effectively is crucial for managing risk in financial markets. The expected shortfall has become an increasingly popular metric for risk in recent years. How to estimate it is important in statistics and financial econometrics. Based on the single index quantile regression, we introduce a new semiparametric approach, namely, weighted single index quantile regression. We assess the performance of the proposed expected shortfall estimator with backtesting. Our simulation results indicate that the … Show more
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