Alternative Approximations to Value-At-Risk: A Comparison
From MaRDI portal
Publication:2876139
DOI10.1080/03610918.2012.756911zbMath1296.41027MaRDI QIDQ2876139
Donald Lien, Keying Ye, Xiao-Bin Yang
Publication date: 18 August 2014
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610918.2012.756911
41A60: Asymptotic approximations, asymptotic expansions (steepest descent, etc.)
91B82: Statistical methods; economic indices and measures
Related Items
The expected-based value-at-risk and expected shortfall using quantile and expectile with application to electricity market data, On approximations of value at risk and expected shortfall involving kurtosis, Comparing VaR Approximation Methods that Use the First Four Moments as Inputs
Cites Work
- Unnamed Item
- A contribution to multivariate L-moments: L-comoment matrices
- Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
- Derivation of approximants to the inverse distribution function of a continuous univariate population from the order statistics of a sample