Nonparametric Estimation for Risk in Value-at-Risk Estimator
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Cites work
- A new distribution-free quantile estimator
- Asymptotic normality of the kernel quantile estimator
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- scientific article; zbMATH DE number 777587 (Why is no real title available?)
- On a distribution-free quantile estimator.
- Smoothing methods in statistics
- Weak and strong uniform consistency of the kernel estimate of a density and its derivatives
Cited in
(28)- Computational tools for the analysis of market risk
- Encoded value-at-risk: a machine learning approach for portfolio risk measurement
- Econometric modeling of risk measures: a selective review of the recent literature
- On the uncertainty of VaR of individual risk
- VaR is subject to a significant positive bias
- Probability-unbiased Value-at-Risk estimators
- Estimating VaR by nonparametric estimation with mixed distribution: empirical investigation of futures market
- Toward a margin-based VaR for the unit maintenance scheduling of power provider enterprises
- The financial measurement of VaR under the GARCH model based on empirical distribution
- Nonparametric estimation of operational value-at-risk (OpVaR)
- A Mean-of-Order-$$p$$ Class of Value-at-Risk Estimators
- Nonparametric estimation of production risk and risk preference functions
- Variance reduction technique for calculating value at risk in fixed income portfolios
- Saddle point approximation and volatility estimation of value-at-risk
- Semiparametric estimation of Value at Risk
- NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY
- How does the choice of Value-at-Risk estimator influence asset allocation decisions?
- Measuring the market risk of freight rates: a forecast combination approach
- Portfolio Optimization with Nonparametric Value at Risk: A Block Coordinate Descent Method
- A quasi-Bayesian model averaging approach for conditional quantile models
- Monte Carlo methods for value-at-risk and conditional value-at-risk: a review
- Interval estimation of VaR
- A theoretical framework incorporating the basic convergence effect in the value-at-risk model
- Evaluating the RiskMetrics methodology in measuring volatility and Value-at-Risk in financial markets
- The expected-based value-at-risk and expected shortfall using quantile and expectile with application to electricity market data
- Uncertainty Comparison Between Value-at-Risk and Expected Shortfall
- Portfolio value-at-risk approximation for geometric Brownian motion
- A simple empirical inquiry concerning tail risk
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