This dissertation contains three essays on nonprametric and semiparametric regression mod-
In the first essay, we propose an estimation procedure for value at risk (VaR) and expected
shortfall (TailVaR.) for conditional distributions of a time series of returns on a financial asset.
Our approach combines a local polynomial estimator of...
Recently, in an attempt to produce robust production frontier estimators, Aragon et al. [2005, Nonparametric frontier estimation: a conditional quantile-based approach. Econometric Theory 21, 358-389] and Martins-Filho and Yao [2008, A smooth nonparametric conditional quantile frontier estimator. Journal of Econometrics 143, 317-333] considered the estimation of nonparametric α- frontier models...