An exponentially weighted quantile regression via SVM with application to estimating multiperiod VaR

DOI10.1007/S10260-015-0332-9MaRDI QIDQ2013645zbMATH OpenOpenAlexFDO

Authors Qifa Xu, Cuixia Jiang, Yaoyao He

Publication date 8 August 2017

Published in Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10260-015-0332-9

zbMATH Keywords

quantile regressionsupport vector machinevalue at riskexponential weightingfinancial riskSVEWQR

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70)

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Cites work

• scientific article; zbMATH DE number 5957364 (Why is no real title available?)
• scientific article; zbMATH DE number 2042816 (Why is no real title available?)
• A note on corrected scores for logistic regression
• Bayesian quantile regression for parametric nonlinear mixed effects models
• Consistency of a nonparametric conditional mode estimator for random fields
• Estimating value at risk with semiparametric support vector quantile regression
• Evaluating value-at-risk models via quantile regression
• GACV for quantile smoothing splines
• Generalized autoregressive conditional heteroscedasticity
• Oracle model selection for nonlinear models based on weighted composite quantile regression
• Quantile Regression in Reproducing Kernel Hilbert Spaces
• Quantile regression.
• Regression Quantiles
• VAR for VaR: measuring tail dependence using multivariate regression quantiles

Cited in

(4)

• Evaluating multiperiod VaR via support vector quantile regression
• Multi-period exponentially weighted-expected shortfall
• Sampling Lasso quantile regression for large-scale data
• Data driven value-at-risk forecasting using a SVR-GARCH-KDE hybrid

Describes a project that uses

Uses Software

• RiskMetrics
• CAViaR

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