Distribution kernel estimator of VaR and its applications for mixing sequences

DOI10.3969/J.ISSN.1001-4268.2018.02.008MaRDI QIDQ5383672zbMATH OpenFDO

Authors Zhiming Hu, Huan Xi, Liming Wang, Ming-Hui Huang

Publication date 21 June 2019

Full work available at URL https://doi.org/10.3969/J.ISSN.1001-4268.2018.02.008

zbMATH Keywords

bandwidthkernel estimationmixing sequencesvalue at risk

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Density estimation (62G07) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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