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线性预测回归中条件期望分位数型风险价值的新估计量AI 解读

Since it is the only elicitable law-invariant coherent risk measure, the expectile-based value-at-risk (EVaR) is a recently recommended risk measure in financial risk management. This paper considers the large sample statistical inference problem of conditional EVaR under a linear predictive regression model. Based on the least-squares residuals, we propose a novel least-squares residual estimator for the conditional EVaR of a linear predictive regression. The asymptotic…

基于秩的线性回归稳健设定检验AI 解读

Summary This paper introduces a robust specification test for linear regression built on a rank-score empirical process. The proposed test is distribution-free, easy to implement, and accommodates a broad class of score functions. We derive the asymptotic properties of the test statistics under the null, fixed alternatives, and a sequence of local alternatives. To implement the test in finite samples, we employ a simple multiplier bootstrap procedure with establishing its…