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

DOI10.1007/S10260-015-0332-9zbMATH Open1405.62044OpenAlexW2187744099MaRDI QIDQ2013645FDOQ2013645

Yaoyao He, Cuixia Jiang, Qifa Xu

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

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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)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Regression Quantiles
• Quantile regression.
• Evaluating Value-at-Risk Models via Quantile Regression
• Bayesian quantile regression for parametric nonlinear mixed effects models
• Consistency of a nonparametric conditional mode estimator for random fields
• Title not available (Why is that?)
• Title not available (Why is that?)
• Quantile Regression in Reproducing Kernel Hilbert Spaces
• GACV for quantile smoothing splines
• VAR for VaR: measuring tail dependence using multivariate regression quantiles
• Estimating value at risk with semiparametric support vector quantile regression
• Title not available (Why is that?)
• A note on corrected scores for logistic regression

Cited In (2)

• Sampling Lasso quantile regression for large-scale data
• Data driven value-at-risk forecasting using a SVR-GARCH-KDE hybrid

Uses Software

• CAViaR
• RiskMetrics

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