Bahadur representation of linear kernel quantile estimator of VaR under \(\alpha \)-mixing assumptions (Q963848): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
Normalize DOI.
 
(3 intermediate revisions by 3 users not shown)
Property / DOI
 
Property / DOI: 10.1016/j.jspi.2010.01.002 / rank
Normal rank
 
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1016/j.jspi.2010.01.002 / rank
Normal rank
 
Property / OpenAlex ID
 
Property / OpenAlex ID: W2050858914 / rank
Normal rank
 
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1016/j.jspi.2010.01.002 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2050858914 / rank
 
Normal rank
Property / cites work
 
Property / cites work: On deviations between empirical and quantile processes for mixing random variables / rank
 
Normal rank
Property / cites work
 
Property / cites work: An almost sure invariance principle for the empirical distribution function of mixing random variables / rank
 
Normal rank
Property / cites work
 
Property / cites work: MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Strong mixing properties of linear stochastic processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Relative deficiency of kernel type estimators of quantiles / rank
 
Normal rank
Property / cites work
 
Property / cites work: MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic volatility models as hidden Markov models and statistical applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: Power transformation and threshold modeling for ARCH innovations with applications to tests for ARCH structure. / rank
 
Normal rank
Property / cites work
 
Property / cites work: VaR is subject to a significant positive bias / rank
 
Normal rank
Property / cites work
 
Property / cites work: Strict stationarity and mixing properties of asymmetric power GARCH models allowing a signed volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: A note on geometric ergodicity of autoregressive conditional heteroscedasticity (ARCH) model / rank
 
Normal rank
Property / cites work
 
Property / cites work: On Estimation of a Probability Density Function and Mode / rank
 
Normal rank
Property / cites work
 
Property / cites work: Nonparametric Statistical Data Modeling / rank
 
Normal rank
Property / cites work
 
Property / cites work: Some mixing properties of time series models / rank
 
Normal rank
Property / cites work
 
Property / cites work: The functional law of the iterated logarithm for stationary strongly mixing sequences / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5633359 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Exponential inequalities for dependent random variables / rank
 
Normal rank
Property / cites work
 
Property / cites work: Kernel Quantile Estimators / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Bahadur representation for sample quantiles under weak dependence / rank
 
Normal rank
Property / cites work
 
Property / cites work: Conditions for linear processes to be strong-mixing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bahadur representation of the kernel quantile estimator under random censorship / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Smooth Nonparametric Estimator of a Quantile Function / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Bahadur representation of sample quantiles for sequences of strongly mixing random variables / rank
 
Normal rank
Property / cites work
 
Property / cites work: A note on strong approximation for quantile processes of strong mixing sequences / rank
 
Normal rank
Property / cites work
 
Property / cites work: A kernel-type estimator of a quantile function under randomly truncated data / rank
 
Normal rank
Property / DOI
 
Property / DOI: 10.1016/J.JSPI.2010.01.002 / rank
 
Normal rank

Latest revision as of 10:16, 10 December 2024

scientific article
Language Label Description Also known as
English
Bahadur representation of linear kernel quantile estimator of VaR under \(\alpha \)-mixing assumptions
scientific article

    Statements

    Bahadur representation of linear kernel quantile estimator of VaR under \(\alpha \)-mixing assumptions (English)
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    14 April 2010
    0 references
    VaR
    0 references
    kernel quantile estimator
    0 references
    \(\alpha \)-mixing
    0 references
    Bahadur representation
    0 references
    strong consistency
    0 references
    mean square error
    0 references
    0 references

    Identifiers