Nonlinear expectile regression with application to value-at-risk and expected shortfall estimation
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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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Cites work
- scientific article; zbMATH DE number 775727 (Why is no real title available?)
- scientific article; zbMATH DE number 854558 (Why is no real title available?)
- scientific article; zbMATH DE number 3336465 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- scientific article; zbMATH DE number 3085434 (Why is no real title available?)
- Asymmetric Least Squares Estimation and Testing
- Bayesian forecasting for financial risk management, pre and post the global financial crisis
- Coherent measures of risk
- Generalized method of moments specification testing
- MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- On the Estimation of Production Frontiers: Maximum Likelihood Estimation of the Parameters of a Discontinuous Density Function
- Quantile regression estimator for GARCH models
- Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
- Regression Analysis when the Dependent Variable Is Truncated Normal
- 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
- On expectile-assisted inverse regression estimation for sufficient dimension reduction
- Dynamic semiparametric models for expected shortfall (and value-at-risk)
- 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
- Test for conditional quantile change in GARCH models
- A new GEE method to account for heteroscedasticity using asymmetric least-square regressions
- Asymmetric influence measure for high dimensional regression
- Nonparametric regression expectiles∗
- Expectile trace regression via low-rank and group sparsity regularization
- \(k\)-sample upper expectation linear regression-modeling, identifiability, estimation and prediction
- An elastic-net penalized expectile regression with applications
- A joint quantile and expected shortfall regression framework
- Test for conditional quantile change in general conditional heteroscedastic time series models
- Data-driven and distribution-free estimation of tailed-related risks for GARCH models using composite asymmetric least squares regression
- Estimation of Value-at-Risk and Expected Shortfall based on Nonlinear Models of Return Dynamics and Extreme Value Theory
- 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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