Nonlinear expectile regression with application to value-at-risk and expected shortfall estimation
DOI10.1016/J.CSDA.2015.07.011zbMATH Open1468.62101OpenAlexW1193828462MaRDI QIDQ1660129FDOQ1660129
Authors: Minjo Kim, Sangyeol Lee 
Publication date: 15 August 2018
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2015.07.011
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- NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY
asymptotic normalityconsistencyexpected shortfallexpectile regressionvalue-at-riskasymmetric least squares regression
Computational methods for problems pertaining to statistics (62-08) Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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- MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
- Quantile regression estimator for GARCH models
- Stability of nonlinear AR-GARCH models
Cited In (34)
- Bootstrap entropy test for general location-scale time series models with heteroscedasticity
- On entropy goodness-of-fit test based on integrated distribution function
- Dynamic semiparametric models for expected shortfall (and value-at-risk)
- On expectile-assisted inverse regression estimation for sufficient dimension reduction
- Conditional quantile change test for time series based on support vector regression
- Parametric expectile regression and its application for premium calculation
- Dynamic large financial networks \textit{via} conditional expected shortfalls
- Robust estimation and shrinkage in ultrahigh dimensional expectile regression with heavy tails and variance heterogeneity
- A continuous threshold expectile model
- On entropy-based goodness-of-fit test for asymmetric Student-\(t\) and exponential power distributions
- Monitoring parameter change for time series models with application to location-Scale heteroscedastic models
- Test for tail index constancy of GARCH innovations based on conditional volatility
- Value at risk linear exponent (VARLINEX) forecasts
- Risk measurement for conditionally heteroscedastic location-scale time series models with ASTD and AEPD innovations
- A new GEE method to account for heteroscedasticity using asymmetric least-square regressions
- Asymmetric influence measure for high dimensional regression
- Test for conditional quantile change in GARCH models
- Nonparametric regression expectiles∗
- Expectile trace regression via low-rank and group sparsity regularization
- An elastic-net penalized expectile regression with applications
- \(k\)-sample upper expectation linear regression-modeling, identifiability, estimation and prediction
- Test for conditional quantile change in general conditional heteroscedastic time series models
- A joint quantile and expected shortfall regression framework
- Estimation of Value-at-Risk and Expected Shortfall based on Nonlinear Models of Return Dynamics and Extreme Value Theory
- Data-driven and distribution-free estimation of tailed-related risks for GARCH models using composite asymmetric least squares regression
- Penalized empirical likelihood for longitudinal expectile regression with growing dimensional data
- Nonparametric conditional autoregressive expectile model via neural network with applications to estimating financial risk
- Expectile hidden Markov regression models for analyzing cryptocurrency returns
- The second-order asymptotic properties of asymmetric least squares estimation
- Estimation of value-at-risk by \(L^p\) quantile regression
- NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY
- Learning rates for kernel-based expectile regression
- Data driven value-at-risk forecasting using a SVR-GARCH-KDE hybrid
- A class of distortion measures generated from expectile and its estimation
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