NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY (Q4599616): Difference between revisions

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scientific article; zbMATH DE number 6821873

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English	NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY	scientific article; zbMATH DE number 6821873

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instance of

scholarly article

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title

NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY (English)

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4 January 2018

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full work available at URL

https://arxiv.org/abs/1612.08099

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describes a project that uses

QRM

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MaRDI profile type

MaRDI publication profile

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cites work

Bandwith selection for the smoothing of distribution functions

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REGRESSION QUANTILES FOR TIME SERIES

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Nonparametric estimation of conditional VaR and expected shortfall

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Extremal quantile regression

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Multivariate wavelet-based shape-preserving estimation for dependent observations

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Mixing: Properties and examples

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Temporal Aggregation of Garch Processes

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Q4343010

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QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS

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Asymptotic normality of the kernel quantile estimator

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Efficient estimation of conditional variance functions in stochastic regression

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Nonlinear Time Series

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Sur la distribution limite du terme maximum d'une série aléatoire

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SLOW VARIATION WITH REMAINDER: THEORY AND APPLICATIONS

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Q3670359

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Local polynomial estimators of the volatility function in nonparametric autoregression

0 references

A simple general approach to inference about the tail of a distribution

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ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS

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ESTIMATION OF AND INFERENCE ABOUT THE EXPECTED SHORTFALL FOR TIME SERIES WITH INFINITE VARIANCE

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Estimation of Value-at-Risk and Expected Shortfall based on Nonlinear Models of Return Dynamics and Extreme Value Theory

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A smooth nonparametric conditional quantile frontier estimator

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Local Polynomial Estimation of Regression Functions for Mixing Processes

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Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality

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Q5706744

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Asymptotically unbiased estimators for the extreme-value index

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Statistical inference using extreme order statistics

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Q3771297

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An Effective Bandwidth Selector for Local Least Squares Regression

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Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall

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Maximum likelihood estimation in a class of nonregular cases

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Estimating tails of probability distributions

0 references

Q3583112

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A Smooth Nonparametric Estimator of a Quantile Function

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Local Linear Quantile Regression

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Identifiers

zbMATH Open document ID

1441.62240

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DOI

10.1017/S0266466616000517

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4599616

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+MaRDI publication profile
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@@ Property / arXiv ID: 1612.08099 / rank @@
+Normal rank
@@ Property / cites work @@
+Bandwith selection for the smoothing of distribution functions
+Normal rank
@@ Property / cites work @@
+REGRESSION QUANTILES FOR TIME SERIES
@@ Property / cites work: REGRESSION QUANTILES FOR TIME SERIES / rank @@
+Normal rank
@@ Property / cites work @@
+Nonparametric estimation of conditional VaR and expected shortfall
+Normal rank
@@ Property / cites work @@
+Extremal quantile regression
@@ Property / cites work: Extremal quantile regression / rank @@
+Normal rank
@@ Property / cites work @@
+Multivariate wavelet-based shape-preserving estimation for dependent observations
+Normal rank
@@ Property / cites work @@
+Mixing: Properties and examples
@@ Property / cites work: Mixing: Properties and examples / rank @@
+Normal rank
@@ Property / cites work @@
+Temporal Aggregation of Garch Processes
@@ Property / cites work: Temporal Aggregation of Garch Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Q4343010
@@ Property / cites work: Q4343010 / rank @@
+Normal rank
@@ Property / cites work @@
+QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS
+Normal rank
@@ Property / cites work @@
+Asymptotic normality of the kernel quantile estimator
+Normal rank
@@ Property / cites work @@
+Efficient estimation of conditional variance functions in stochastic regression
+Normal rank
@@ Property / cites work @@
+Nonlinear Time Series
@@ Property / cites work: Nonlinear Time Series / rank @@
+Normal rank
@@ Property / cites work @@
+Sur la distribution limite du terme maximum d'une série aléatoire
+Normal rank
@@ Property / cites work @@
+SLOW VARIATION WITH REMAINDER: THEORY AND APPLICATIONS
+Normal rank
@@ Property / cites work @@
+Q3670359
@@ Property / cites work: Q3670359 / rank @@
+Normal rank
@@ Property / cites work @@
+Local polynomial estimators of the volatility function in nonparametric autoregression
+Normal rank
@@ Property / cites work @@
+A simple general approach to inference about the tail of a distribution
+Normal rank
@@ Property / cites work @@
+Extremes and related properties of random sequences and processes
+Normal rank
@@ Property / cites work @@
+ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS
+Normal rank
@@ Property / cites work @@
+ESTIMATION OF AND INFERENCE ABOUT THE EXPECTED SHORTFALL FOR TIME SERIES WITH INFINITE VARIANCE
+Normal rank
@@ Property / cites work @@
+Estimation of Value-at-Risk and Expected Shortfall based on Nonlinear Models of Return Dynamics and Extreme Value Theory
+Normal rank
@@ Property / cites work @@
+A smooth nonparametric conditional quantile frontier estimator
+Normal rank
@@ Property / cites work @@
+Local Polynomial Estimation of Regression Functions for Mixing Processes
+Normal rank
@@ Property / cites work @@
+Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality
+Normal rank
@@ Property / cites work @@
+Q5706744
@@ Property / cites work: Q5706744 / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotically unbiased estimators for the extreme-value index
+Normal rank
@@ Property / cites work @@
+Statistical inference using extreme order statistics
+Normal rank
@@ Property / cites work @@
+Q3771297
@@ Property / cites work: Q3771297 / rank @@
+Normal rank
@@ Property / cites work @@
+An Effective Bandwidth Selector for Local Least Squares Regression
+Normal rank
@@ Property / cites work @@
+Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
+Normal rank
@@ Property / cites work @@
+Maximum likelihood estimation in a class of nonregular cases
+Normal rank
@@ Property / cites work @@
+Estimating tails of probability distributions
@@ Property / cites work: Estimating tails of probability distributions / rank @@
+Normal rank
@@ Property / cites work @@
+Q3583112
@@ Property / cites work: Q3583112 / rank @@
+Normal rank
@@ Property / cites work @@
+A Smooth Nonparametric Estimator of a Quantile Function
+Normal rank
@@ Property / cites work @@
+Local Linear Quantile Regression
@@ Property / cites work: Local Linear Quantile Regression / rank @@
+Normal rank