A New Estimator for Conditional Expectile-Based Value-at-Risk of a Linear Predictive Regression
线性预测回归中条件期望分位数型风险价值的新估计量
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…