Model-free inference for tail risk measures
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Cites work
- A General Definition of the Lorenz Curve
- Analysis of Financial Time Series
- Approximating conditional distribution functions using dimension reduction
- Assessing value at risk with CARE, the conditional autoregressive expectile models
- Autoregressive Conditional Density Estimation
- Coherent measures of risk
- Consistency in Nonlinear Econometric Models: A Generic Uniform Law of Large Numbers
- Efficient Tests for an Autoregressive Unit Root
- Empirical likelihood
- Empirical likelihood and general estimating equations
- Empirical likelihood as a goodness-of-fit measure
- Empirical likelihood confidence intervals for local linear smoothers
- Empirical likelihood ratio confidence intervals for a single functional
- Empirical likelihood ratio confidence regions
- Empirical likelihood-based inference for nonparametric recurrent diffusions
- Empirical-likelihood-based confidence intervals for conditional variance in heteroskedastic regression models
- Estimation of and inference about the expected shortfall for time series with infinite variance
- Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
- scientific article; zbMATH DE number 991833 (Why is no real title available?)
- Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
- Local Polynomial Estimation of Regression Functions for Mixing Processes
- Miscellanea. Bartlett adjustment of empirical discrepancy statistics
- Nonlinear time series. Nonparametric and parametric methods
- Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
- Nonparametric estimation of conditional VaR and expected shortfall
- Nonparametric inference for conditional quantiles of time series
- On average derivative quantile regression
- On estimating the conditional expected shortfall
- Single-index quantile regression
- Some automated methods of smoothing time-dependent data
- Stable Paretian models in finance
Cited in
(14)- Nonstationary Z-score measures
- Inference for conditional value-at-risk of a predictive regression
- A model-free identification of relative risk
- Inference of local regression in the presence of nuisance parameters
- Econometric modeling of risk measures: a selective review of the recent literature
- On tail trend detection: modeling relative risk
- On the measurement of economic tail risk
- scientific article; zbMATH DE number 4215210 (Why is no real title available?)
- Uncertainty in historical value-at-risk: an alternative quantile-based risk measure
- Right-tail information in financial markets
- An alternative nonparametric tail risk measure
- Tail risk measures using flexible parametric distributions
- Nonparametric inference for VaR, CTE, and expectile with high-order precision
- Enhancing tail risk measurement: a practical approach to managing model risk of tail risk
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