nonparam-cvar

This is a project perfomed 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

Overview

I reviewed

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

My ygeunkim/ceshat development package is the one to carry out this project.
If you are interested in this, check it out.

Results

There will be two presentations and one report.