Nonparametric estimation of value-at-risk
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- scientific article; zbMATH DE number 1932370
Cites work
- Generalized autoregressive conditional heteroscedasticity
- scientific article; zbMATH DE number 2042816 (Why is no real title available?)
- scientific article; zbMATH DE number 1850465 (Why is no real title available?)
- Nonparametric Risk Management With Generalized Hyperbolic Distributions
- Nonparametric Statistical Data Modeling
- Statistical inference for time-inhomogeneous volatility models.
Cited in
(29)- Empirical likelihood-based evaluations of value at risk models
- Predicting extreme value at risk: nonparametric quantile regression with refinements from extreme value theory
- Nonparametric risk management and implied risk aversion
- Two nonparametric approaches to mean absolute deviation portfolio selection model
- A nonparametric approach to calculating value-at-risk
- Model-free inference for tail risk measures
- Value at risk for integrated returns and its applications to equity portfolios
- Probability-unbiased Value-at-Risk estimators
- Estimating VaR by nonparametric estimation with mixed distribution: empirical investigation of futures market
- Nonparametric Risk Management With Generalized Hyperbolic Distributions
- Nonparametric estimation of operational value-at-risk (OpVaR)
- A Mean-of-Order-$$p$$ Class of Value-at-Risk Estimators
- Nonparametric estimation of value-at-risk of Chinese stock market
- Nonparametric estimation of production risk and risk preference functions
- scientific article; zbMATH DE number 5524271 (Why is no real title available?)
- Semiparametric estimation of Value at Risk
- NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY
- A smooth non-parametric estimation framework for safety-first portfolio optimization
- Improving Hull and White's method of estimating portfolio value-at-risk
- scientific article; zbMATH DE number 1932370 (Why is no real title available?)
- scientific article; zbMATH DE number 1449651 (Why is no real title available?)
- Portfolio optimization by using MeanSharp-βVaR and Multi Objective MeanSharp-βVaR models
- Estimation of value-at-risk using single index quantile regression
- A robust statistical approach to select adequate error distributions for financial returns
- Simulation-based Value-at-Risk for nonlinear portfolios
- Local likelihood density estimation and value-at-risk
- Modeling long term return distribution and nonparametric market risk estimation
- Uncertainty Comparison Between Value-at-Risk and Expected Shortfall
- How to estimate the value at risk under incomplete information
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