Nonparametric Estimation of Conditional Expected Shortfall

This is a project performed 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

Reviewd Paper

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

ceshat

This is an R package to help this project, which tries to reproduce the above paper. Click the Code button!