Browsing by Subject "Nonparametric Prediction Intervals"

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Nonparametric Prediction Interval for Conditional Expected Shortfall Admittinga Location-Scale Model using Bootstrap Method

Torsen, Emmanuel; Mwita, Peter N.; Mung’atu, Joseph K. (Machakos University, 2019-04)

Inﬁnancialriskmanagement,theexpectedshortfallisapopularriskmeasurewhichisoften considered as an alternative to Value-at-Risk. It is deﬁned as the conditional expected loss given that the loss is greater than a given ...