A1801
Title: Nonparametric functional risk measurements with application to NASDAQ index
Authors: Fatimah Alshahrani - Princess Nourah bint Abdulrahman University (Saudi Arabia) [presenting]
Abstract: An expectile regression is introduced as a risk measurement using a nonparametric functional approach. In the same regime, the proposed model is compared to the well-known risk measurements which are value at risk (VaR) and expected shortfall (ES), by applying them to the NASDAQ index. The findings show the superiority of the expectile regression over the VaR and ES.
