Bootstrapping nonparametric prediction intervals for conditional value-at-risk with heteroscedasticity

DOI10.1155/2019/7691841zbMath1431.62205OpenAlexW2944345726MaRDI QIDQ2272868

Lema Logamou Seknewna, Emmanuel Torsen

Publication date: 17 September 2019

Published in: Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2019/7691841

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Nonparametric tolerance and confidence regions (62G15) Nonparametric statistical resampling methods (62G09)

Related Items (1)

Dynamic forecasting performance and liquidity evaluation of financial market by econophysics and Bayesian methods

Uses Software

• StInt

Cites Work

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• Nonparametric Prediction Intervals for a Future Sample Median
• A CENTRAL LIMIT THEOREM AND A STRONG MIXING CONDITION
• Prediction intervals - a review
• Design-adaptive Nonparametric Regression
• Efficient estimation of conditional variance functions in stochastic regression
• The Probability That the Mean of a Second Sample Will Differ from the Mean of a First Sample By Less Than a Certain Multiple of the Standard Deviation of the First Sample

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