Probability-unbiased Value-at-Risk estimators
DOI10.1080/14697681003687569zbMATH Open1278.62166OpenAlexW2058238671MaRDI QIDQ2869965FDOQ2869965
Authors: Ivo Francioni, Florian Herzog 
Publication date: 17 January 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697681003687569
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- scientific article; zbMATH DE number 5668415
- How to estimate the value at risk under incomplete information
Point estimation (62F10) Gaussian processes (60G15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)
Cites Work
Cited In (10)
- Adjusted empirical likelihood for value at risk and expected shortfall
- VaR is subject to a significant positive bias
- Unbiased risk estimation method for covariance estimation
- Estimating and backtesting risk under heavy tails
- Quantifying and Correcting the Bias in Estimated Risk Measures
- Estimation-adjusted VaR
- How to estimate the value at risk under incomplete information
- Probability equivalent level of value at risk and higher-order expected shortfalls
- A note on pivotal value-at-risk estimates
- Estimating quantiles with Linex loss function. Applications to VaR estimation
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