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Expected Shortfall Regression for High-Dimensional Additive Models

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  • HONDA, Toshio
  • 本田, 敏雄
  • PENG, Po-Hsiang

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  • HONDA, Toshio & 本田, 敏雄 & PENG, Po-Hsiang, 2025. "Expected Shortfall Regression for High-Dimensional Additive Models," Discussion Papers 2025-01, Graduate School of Economics, Hitotsubashi University.
    • Handle: RePEc:hit:econdp:2025-01
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    File URL: https://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/85066/070econDP25-01.pdf
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    References listed on IDEAS

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    1. Victor Chernozhukov & Denis Chetverikov & Mert Demirer & Esther Duflo & Christian Hansen & Whitney Newey & James Robins, 2018. "Double/debiased machine learning for treatment and structural parameters," Econometrics Journal, Royal Economic Society, vol. 21(1), pages 1-68, February.
    2. Patton, Andrew J. & Ziegel, Johanna F. & Chen, Rui, 2019. "Dynamic semiparametric models for expected shortfall (and Value-at-Risk)," Journal of Econometrics, Elsevier, vol. 211(2), pages 388-413.
    3. Fan J. & Li R., 2001. "Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 1348-1360, December.
    4. Kengo Kato, 2012. "Weighted Nadaraya--Watson Estimation of Conditional Expected Shortfall," Journal of Financial Econometrics, Oxford University Press, vol. 10(2), pages 265-291, 2012 15.
    5. Song Xi Chen, 2008. "Nonparametric Estimation of Expected Shortfall," Journal of Financial Econometrics, Oxford University Press, vol. 6(1), pages 87-107, Winter.
    6. Gneiting, Tilmann, 2011. "Making and Evaluating Point Forecasts," Journal of the American Statistical Association, American Statistical Association, vol. 106(494), pages 746-762.
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