Estimating value at risk with semiparametric support vector quantile regression

DOI10.1007/s00180-011-0283-zzbMath1304.65072OpenAlexW2064016956MaRDI QIDQ2512755

Yong-Tae Kim, Jooyong Shim, Jangtaek Lee, Changha Hwang

Publication date: 30 January 2015

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-011-0283-z

zbMATH Keywords

quantile regressionGARCHvalue at riskEWMA\(t\)-GARCHsemiparametric support vector quantile regression

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Statistical methods; risk measures (91G70)

Related Items

Support vector quantile regression with varying coefficients ⋮ Conditional quantile change test for time series based on support vector regression ⋮ An exponentially weighted quantile regression via SVM with application to estimating multiperiod VaR

Uses Software

• CAViaR

Cites Work

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