Semiparametric estimation of dynamic conditional expected shortfall models
by Juan Carlos Escanciano, Silvia Mayoral
International Journal of Monetary Economics and Finance (IJMEF), Vol. 1, No. 2, 2008

Abstract: The paper proposes a simple estimator for a class of Conditional Expected Shortfall risk measures. The estimator is semiparametric, in the sense that it does not require a full specification of the conditional distribution of the data, and it is very simple to compute, being a least squares estimator with a closed form expression. We establish its consistency and asymptotic normality under mild regularity conditions. A simulation study provides evidence of the excellent finite-sample properties of the estimator and an application to some exchange rates highlights the semiparametric aspect of the new estimator.

Online publication date: Wed, 02-Jul-2008

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