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swMATH4424MaRDI QIDQ16600FDOQ16600

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Official website: http://amstat.tandfonline.com/doi/abs/10.1198/073500104000000370#.Ut6E61so9pg

Cited In (only showing first 100 items - show all)

• Evaluating value-at-risk models via quantile regression
• Incorporating higher moments into value-at-risk forecasting
• Dynamic semiparametric models for expected shortfall (and value-at-risk)
• An MCMC approach to classical estimation.
• Nonparametric estimation of conditional VaR and expected shortfall
• Bayesian tail risk interdependence using quantile regression
• Dynamic quantile models
• Semiparametric estimation of Value at Risk
• A copula-based quantile model
• Network quantile autoregression
• Markov regime-switching quantile regression models and financial contagion detection
• Granger causality in risk and detection of extreme risk spillover between financial markets
• Estimating structural changes in regression quantiles
• VAR for VaR: measuring tail dependence using multivariate regression quantiles
• Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity
• Dynamic quantile function models
• Conditional quantiles and tail dependence
• Validating forecasts of the joint probability density of bond yields: can affine models beat random walk?
• Testing for Granger-causality in quantiles
• Smoothing methods for histogram‐valued time series: an application to value‐at‐risk
• Artifactual unit root behavior of value at risk (VaR)
• Quantiles, expectiles and splines
• Conditional value-at-risk: semiparametric estimation and inference
• Local likelihood density estimation and value-at-risk
• Reconciling negative return skewness with positive time-varying risk premia
• Testing conditional asymmetry: a residual-based approach
• A linearized value-at-risk model with transaction costs and short selling
• Predicting extreme value at risk: nonparametric quantile regression with refinements from extreme value theory
• Copula-based nonlinear quantile autoregression
• برآورد مدل اتورگرسیو چندکی خطی با استفاده از الگوریتم EM تصادفی
• Empirical likelihood-based evaluations of value at risk models
• AS 99
• LMOMENTS
• gldex
• FinTS
• QRM
• WeightedPortTest
• Rugarch
• LSD
• ssym
• MFE toolbox
• DySco
• MSC
• mvnfast
• MS_Regress
• GAS
• G@RCH
• neldermead
• Inference for extremal conditional quantile models, with an application to market and birthweight risks
• DREAM
• essHist
• Brq
• Dowd
• quantilogram
• erboost
• StInt
• RiskPortfolios
• esreg
• SYMARMA
• A joint quantile and expected shortfall regression framework
• The quantilogram: with an application to evaluating directional predictability
• Financial econometrics -- a new discipline with new methods. (With comments)
• RiskMetrics
• Quantile regression estimator for GARCH models
• Quasi-maximum likelihood estimation for conditional quantiles
• Improving the value at risk forecasts: theory and evidence from the financial crisis
• Financial econometrics: Past developments and future challenges
• On the measurement of economic tail risk
• Quantile cointegration in the autoregressive distributed-lag modeling framework
• Estimation of copula-based semiparametric time series models
• Inference for conditional value-at-risk of a predictive regression
• Quantile cointegrating regression
• On some models for value-at-risk
• Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity
• The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
• Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis
• Assessing value at risk with CARE, the conditional autoregressive expectile models
• Verification of internal risk measure estimates
• Two‐stage quantile regression when the first stage is based on quantile regression
• Estimating value at risk with semiparametric support vector quantile regression
• Statistical inference for conditional quantiles in nonlinear time series models
• Uniform calibration tests for forecasting systems with small lead time
• 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
• Semi-parametric Bayesian tail risk forecasting incorporating realized measures of volatility
• Mark to market value at risk
• Time-varying quantile association regression model with applications to financial contagion and VaR
• 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
• Dynamic large financial networks \textit{via} conditional expected shortfalls
• 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
• Capturing deep tail risk via sequential learning of quantile dynamics
• An exponentially weighted quantile regression via SVM with application to estimating multiperiod VaR
• Portfolio selection in quantile decision models
• Forecasting value-at-risk in turbulent stock markets via the local regularity of the price process
• Probabilistic forecasting of wind power ramp events using autoregressive logit models
• Test for tail index constancy of GARCH innovations based on conditional volatility

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