CAViaR
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Cited in
(only showing first 100 items - show all)- A smooth block bootstrap for quantile regression with time series
- Backtesting extreme value theory models of expected shortfall
- Copula-based risk management models for multivariable RMB exchange rate in the process of RMB internationalization
- A detailed comparison of value at risk estimates
- Forecasting value-at-risk with a duration-based POT method
- Two-sided exponential-geometric distribution: inference and volatility modeling
- Measuring contagion of subprime crisis based on MVMQ-CAViaR method
- A review of backtesting for value at risk
- A survey on time-varying copulas: specification, simulations, and application
- Evaluating value-at-risk models via quantile regression
- A smoothing stochastic algorithm for quantile estimation
- Triple seasonal methods for short-term electricity demand forecasting
- Some recent developments on nonparametric econometrics
- Uniform calibration tests for forecasting systems with small lead time
- Nonparametric estimation of conditional VaR and expected shortfall
- An MCMC approach to classical estimation.
- Incorporating higher moments into value-at-risk forecasting
- Dynamic semiparametric models for expected shortfall (and value-at-risk)
- Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics
- Quantile regression estimation for discretely observed SDE models with compound Poisson jumps
- Retirement consumption puzzle in Malaysia: evidence from Bayesian quantile regression model
- Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics
- Bayesian tail risk interdependence using quantile regression
- Nonlinear expectile regression with application to value-at-risk and expected shortfall estimation
- Dynamic quantile models
- QUANTILE DOUBLE AUTOREGRESSION
- Intradaily dynamic portfolio selection
- How does the choice of Value-at-Risk estimator influence asset allocation decisions?
- Dynamic portfolio insurance strategies: risk management under Johnson distributions
- Mark to market value at risk
- Time-varying quantile association regression model with applications to financial contagion and VaR
- Practical implications of higher moments in risk management
- Credible risk measures with applications in actuarial sciences and finance
- Semi-parametric Bayesian tail risk forecasting incorporating realized measures of volatility
- Hybrid quantile estimation for asymmetric power GARCH models
- Dynamic expected shortfall: a spectral decomposition of tail risk across time horizons
- GFC-robust risk management under the Basel accord using extreme value methodologies
- Semiparametric estimation of Value at Risk
- A copula-based quantile model
- Predicting recovery rates using logistic quantile regression with bounded outcomes
- Dynamic large financial networks \textit{via} conditional expected shortfalls
- Markov regime-switching quantile regression models and financial contagion detection
- Granger causality in risk and detection of extreme risk spillover between financial markets
- Network quantile autoregression
- Variance clustering improved dynamic conditional correlation MGARCH estimators
- Impulse response analysis in conditional quantile models with an application to monetary policy
- Risk management of time varying floors for dynamic portfolio insurance
- Feasible invertibility conditions and maximum likelihood estimation for observation-driven models
- Residual-based rank specification tests for AR-GARCH type models
- Capturing deep tail risk via sequential learning of quantile dynamics
- An exponentially weighted quantile regression via SVM with application to estimating multiperiod VaR
- Nonparametric estimates for conditional quantiles of time series
- Portfolio selection in quantile decision models
- Risk margin quantile function via parametric and non-parametric Bayesian approaches
- Estimating structural changes in regression quantiles
- A robust closed-form estimator for the GARCH(1,1) model
- VAR for VaR: measuring tail dependence using multivariate regression quantiles
- On entropy-based goodness-of-fit test for asymmetric Student-\(t\) and exponential power distributions
- A component GARCH model with time varying weights
- Risk measures in a quantile regression credibility framework with Fama/French data applications
- Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity
- Approximation methods for multiple period Value at Risk and Expected Shortfall prediction
- Forecasting value-at-risk in turbulent stock markets via the local regularity of the price process
- Validating forecasts of the joint probability density of bond yields: can affine models beat random walk?
- Probabilistic forecasting of wind power ramp events using autoregressive logit models
- Dynamic quantile function models
- Conditional quantiles and tail dependence
- A Projection-Based Nonparametric Test of Conditional Quantile Independence
- Monitoring parameter change for time series models with application to location-Scale heteroscedastic models
- A Risk Measurement Model of China’s Non-Ferrous Metal Futures Market
- Artifactual unit root behavior of value at risk (VaR)
- Heterogenous market hypothesis evaluation using multipower variation volatility
- Testing for Granger-causality in quantiles
- Smoothing methods for histogram‐valued time series: an application to value‐at‐risk
- Tail Granger causalities and where to find them: extreme risk spillovers vs spurious linkages
- Test for tail index constancy of GARCH innovations based on conditional volatility
- Estimation of value-at-risk using single index quantile regression
- Quantiles, expectiles and splines
- Adaptive hyperbolic asymmetric power ARCH (A-HY-APARCH) model: stability and estimation
- Nonstationary nonlinear quantile regression
- Conditional value-at-risk: semiparametric estimation and inference
- Local likelihood density estimation and value-at-risk
- Joint estimation of conditional quantiles in multivariate linear regression models with an application to financial distress
- Value at risk estimation
- Bayesian estimation and inference for log-ACD models
- Comparison of value-at-risk models using the MCS approach
- Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles
- The economic value of volatility timing using a range-based volatility model
- Assessing interbank contagion using simulated networks
- Testing conditional asymmetry: a residual-based approach
- A linearized value-at-risk model with transaction costs and short selling
- Accurate value-at-risk forecasting based on the normal-GARCH model
- Reconciling negative return skewness with positive time-varying risk premia
- The dependence structure between equity and foreign exchange markets and tail risk forecasts of foreign investments
- Efficient factor GARCH models and factor-DCC models
- A specification test for dynamic conditional distribution models with function-valued parameters
- Multivariate time series models for asset prices
- A novel grey prediction model based on quantile regression
- Adjusted extreme conditional quantile autoregression with application to risk measurement
- Index-exciting CAViaR: a new empirical time-varying risk model
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