A nonparametric approach to calculating value-at-risk (Q2442522)

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A nonparametric approach to calculating value-at-risk
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    title
    A nonparametric approach to calculating value-at-risk (English)
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    author
    Ramon Alemany
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    Catalina Bolancé
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    Montserrat Guillen
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    publication date
    3 April 2014
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    Mathematics Subject Classification ID
    62P05
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    62G05
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    91B30
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    zbMATH DE Number
    6278619
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    zbMATH Keywords
    kernel estimation
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    bandwidth selection
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    quantile
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    risk measures
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