{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,13]],"date-time":"2026-10-13T12:18:24Z","timestamp":1791893904019,"version":"4.3.4"},"reference-count":52,"publisher":"Cambridge University Press (CUP)","issue":"1","license":[{"start":{"date-parts":[[2016,12,19]],"date-time":"2016-12-19T00:00:00Z","timestamp":1482105600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":["www.cambridge.org"],"crossmark-restriction":true},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2018,2]]},"abstract":"<jats:p>We propose nonparametric estimators for conditional value-at-risk (CVaR) and conditional expected shortfall (CES) associated with conditional distributions of a series of returns on a financial asset. The return series and the conditioning covariates, which may include lagged returns and other exogenous variables, are assumed to be strong mixing and follow a nonparametric conditional location-scale model. First stage nonparametric estimators for location and scale are combined with a generalized Pareto approximation for distribution tails proposed by Pickands (1975,<jats:italic>Annals of Statistics<\/jats:italic>3, 119\u2013131) to give final estimators for CVaR and CES. We provide consistency and asymptotic normality of the proposed estimators under suitable normalization. We also present the results of a Monte Carlo study that sheds light on their finite sample performance. Empirical viability of the model and estimators is investigated through a backtesting exercise using returns on future contracts for five agricultural commodities.<\/jats:p>","DOI":"10.1017\/s0266466616000517","type":"journal-article","created":{"date-parts":[[2016,12,19]],"date-time":"2016-12-19T08:50:51Z","timestamp":1482137451000},"page":"23-67","update-policy":"https:\/\/doi.org\/10.1017\/policypage","source":"Crossref","is-referenced-by-count":57,"title":["NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY"],"prefix":"10.1017","volume":"34","author":[{"given":"Carlos","family":"Martins-Filho","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Feng","family":"Yao","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Maximo","family":"Torero","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2016,12,19]]},"reference":[{"key":"S0266466616000517_ref20","doi-asserted-by":"crossref","first-page":"428","DOI":"10.1214\/aos\/1176346605","article-title":"Asymptotic normality of the kernel quantile estimator","volume":"13","author":"Falk","year":"1985","journal-title":"Annals of Statistics"},{"key":"S0266466616000517_ref47","doi-asserted-by":"crossref","first-page":"639","DOI":"10.7202\/1106844ar","article-title":"Nonparametric estimation of conditional expected shortfall","volume":"72","author":"Scaillet","year":"2005","journal-title":"Revue Assurances et Gestion des Risques\/Insurance and Risk Management Journal"},{"key":"S0266466616000517_ref25","doi-asserted-by":"crossref","first-page":"37","DOI":"10.1111\/j.2517-6161.1982.tb01183.x","article-title":"On some simple estimates of an exponent of regular variation","volume":"44","author":"Hall","year":"1982","journal-title":"Journal of Royal Satistical Society Series B"},{"key":"S0266466616000517_ref10","unstructured":"Christoffersen, P. , Berkowitz, J. , & Pelletier, D. 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