Inference for conditional value-at-risk of a predictive regression
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Publication:1996776
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Cites work
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- scientific article; zbMATH DE number 1054299 (Why is no real title available?)
- scientific article; zbMATH DE number 3349081 (Why is no real title available?)
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- Extremal quantile regression
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- Heavy-Tail Phenomena
- Inference in Arch and Garch Models with Heavy-Tailed Errors
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Cited in
(14)- Empirical likelihood intervals for conditional value-at-risk in heteroscedastic regression models
- The risk inflation criterion for multiple regression
- Test for Market Timing Using Daily Fund Returns
- Nonparametric tests for market timing ability using daily mutual fund returns
- Test for zero median of errors in an ARMA-GARCH model
- Risk analysis with categorical explanatory variables
- Test for Zero Mean of Errors In An ARMA-GGARCH Model After Using A Median Inference
- Risk Analysis via Generalized Pareto Distributions
- Conditional Risk Mappings
- Bootstrapping nonparametric prediction intervals for conditional value-at-risk with heteroscedasticity
- On the \(L_p\)-norm regression models for estimating value-at-risk
- Conditional value-at-risk and average value-at-risk: estimation and asymptotics
- Predictive quantile regressions under persistence and conditional heteroskedasticity
- Assessing value at risk with CARE, the conditional autoregressive expectile models
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