Interval estimation of VaR

MaRDI QIDQ5368547zbMATH OpenFDO

Authors Pengcheng Ren, Jing Xu, Xinmin Li

Publication date 20 October 2017

zbMATH Keywords

interval estimationbootstrap methodgeneralized inferenceVaR

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Parametric tolerance and confidence regions (62F25) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Nonparametric Estimation for Risk in Value-at-Risk Estimator
• scientific article; zbMATH DE number 1449651
• scientific article; zbMATH DE number 1449653
• Credibility estimation based on risk measure of value at risk
• Saddle point approximation and volatility estimation of value-at-risk

Cited in

(6)

• scientific article; zbMATH DE number 2172880 (Why is no real title available?)
• Nonparametric Estimation for Risk in Value-at-Risk Estimator
• The Automated Bias-Corrected and Accelerated Bootstrap Confidence Intervals for Risk Measures
• A note on variability of interval data
• Credibility estimation based on risk measure of value at risk
• scientific article; zbMATH DE number 1449653 (Why is no real title available?)

This page was built for publication: Interval estimation of VaR

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5368547)