Spatio-Functional Nadaraya–Watson Estimator of the Expectile Shortfall Regression

The main aim of this paper is to consider a new risk metric that permits taking into account the spatial interactions of data. The considered risk metric explores the spatial tail-expectation of the data. Indeed, it is obtained by combining the ideas of expected shortfall regression with an expectil...

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Bibliographic Details
Published in:Axioms
Main Authors: Mohammed B. Alamari, Fatimah A. Almulhim, Zoulikha Kaid, Ali Laksaci
Format: Article
Language:English
Published: MDPI AG 2024-09-01
Subjects:
financial risk
complete consistency
expected shortfall
functional data
kernel method
expectile regression
Online Access:https://www.mdpi.com/2075-1680/13/10/678

Internet

https://www.mdpi.com/2075-1680/13/10/678

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