Assessing value at risk with CARE, the conditional autoregressive expectile models

DOI10.1016/J.JECONOM.2008.12.002zbMATH Open1429.62474OpenAlexW3123960162MaRDI QIDQ302198FDOQ302198

Authors: Chung-Ming Kuan, Jin-Huei Yeh, Yu-Chin Hsu 

Publication date: 4 July 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.12.002

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zbMATH Keywords

quantileexpectilevalue at riskasymmetric least squaresCARE modelprudentiality

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cites Work

• Regression Quantiles
• Title not available (Why is that?)
• Title not available (Why is that?)
• Asymmetric Least Squares Estimation and Testing
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Asymmetric least squares regression estimation: A nonparametric approach^∗
• Prospect Theory: An Analysis of Decision under Risk
• Nonparametric risk management and implied risk aversion
• An encompassing approach to conditional mean tests with applications to testing nonnested hypotheses
• Local likelihood density estimation and value-at-risk
• Prudent Margin Levels in the Finnish Stock Index Futures Market

Cited In (74)

• Portfolio optimization with transaction costs: a two-period mean-variance model
• Dimension reduction techniques for conditional expectiles
• Nonparametric estimation of expectile regression in functional dependent data
• \(K\)-expectiles clustering
• Local linear estimate of the functional expectile regression
• Reinsurance premium principles based on weighted loss functions
• Nonlinear expectile regression with application to value-at-risk and expected shortfall estimation
• Parametric expectile regression and its application for premium calculation
• Asymmetric least squares support vector machine classifiers
• Simultaneous confidence bands for expectile functions
• Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization
• Bootstrap confidence bands and partial linear quantile regression
• Multivariate expectile-based distribution: properties, Bayesian inference, and applications
• Jackknife model averaging for expectile regressions in increasing dimension
• Generalized quantiles as risk measures
• A dynamic autoregressive expectile for time-invariant portfolio protection strategies
• A continuous threshold expectile model
• Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models
• Optimal reinsurance with expectile
• Tail expectile process and risk assessment
• Model-free inference for tail risk measures
• A tail-revisited Markowitz mean-variance approach and a portfolio network centrality
• Scenario aggregation method for portfolio expectile optimization
• Coherence and elicitability
• RISK MEASURES DERIVED FROM A REGULATOR’S PERSPECTIVE ON THE REGULATORY CAPITAL REQUIREMENTS FOR INSURERS
• Principal component analysis in an asymmetric norm
• ExpectHill estimation, extreme risk and heavy tails
• Bayesian expectile regression with asymmetric normal distribution
• Econometric modeling of risk measures: a selective review of the recent literature
• An elastic-net penalized expectile regression with applications
• The \(k\)th power expectile regression
• A Study of Value‐at‐Risk Based on M‐Estimators of the Conditional Heteroscedastic Models
• Cryptocurrency risk measurement based on MIDAS-Expectile regression model
• Data-driven and distribution-free estimation of tailed-related risks for GARCH models using composite asymmetric least squares regression
• Extremiles: A New Perspective on Asymmetric Least Squares
• Variable selection and debiased estimation for single‐index expectile model
• Efficient estimation in expectile regression using envelope models
• Unified Bayesian conditional autoregressive risk measures using the skew exponential power distribution
• Quantile-based estimative VaR forecast and dependence measure: a simulation approach
• Improving the value at risk forecasts: theory and evidence from the financial crisis
• Nonparametric conditional autoregressive expectile model via neural network with applications to estimating financial risk
• ASYMPTOTIC EXPANSIONS OF GENERALIZED QUANTILES AND EXPECTILES FOR EXTREME RISKS
• Analyzing and predicting cat bond premiums: a financial loss premium principle and extreme value modeling
• Inference for conditional value-at-risk of a predictive regression
• Multivariate \(\rho \)-quantiles: a spatial approach
• Semiparametric varying-coefficient expectile model for estimating value at risk on dependent samples
• On the nonparametric estimation of the functional expectile regression
• Expectile and quantile regression—David and Goliath?
• The second-order asymptotic properties of asymmetric least squares estimation
• The functional \(k\mathrm{NN}\) estimator of the conditional expectile: uniform consistency in number of neighbors
• Beyond mean regression
• Tail risk inference via expectiles in heavy-tailed time series
• Financial risk meter FRM based on expectiles
• Penalized expectile regression: an alternative to penalized quantile regression
• ESTIMATION OF HIGH CONDITIONAL TAIL RISK BASED ON EXPECTILE REGRESSION
• Extreme tail risk estimation with the generalized Pareto distribution under the peaks-over-threshold framework
• Performance measurement with expectiles
• The consistency and asymptotic normality of the kernel type expectile regression estimator for functional data
• Retire: robust expectile regression in high dimensions
• Poisson subsampling-based estimation for growing-dimensional expectile regression in massive data
• Distributionally robust reinsurance with expectile
• Modelling additive extremile regression by iteratively penalized least asymmetric weighted squares and gradient descent boosting
• Prediction of Extremal Expectile Based on Regression Models With Heteroscedastic Extremes
• The local linear functional \(k\)NN estimator of the conditional expectile: uniform consistency in number of neighbors
• The \(k\)th power expectile estimation and testing
• Estimation of tail risk using extreme expectiles in linear GARCH models with heavy-tailed error
• Estimation of value-at-risk by \(L^p\) quantile regression
• Estimation and backtesting of risk measures with emphasis on distortion risk measures
• Expectile regression via deep residual networks
• Flexible Expectile Regression in Reproducing Kernel Hilbert Spaces
• Testing Granger non-causality in expectiles
• An expectile computation cookbook
• A class of distortion measures generated from expectile and its estimation
• Estimation and inference for multikink expectile regression with longitudinal data

Uses Software

• CAViaR

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