Inference for conditional value-at-risk of a predictive regression
DOI10.1214/19-AOS1937zbMATH Open1469.62250OpenAlexW3112224177MaRDI QIDQ1996776FDOQ1996776
Authors: Yi He, Yanxi Hou, Liang Peng, Haipeng Shen 
Publication date: 26 February 2021
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.aos/1607677242
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quantile regressionempirical likelihoodinterval estimationleast squares estimationrisk managementvalue-at-riskconditional risk measures
Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Statistical methods; risk measures (91G70)
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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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