Semiparametric estimation of Value at Risk
DOI10.1111/1368-423X.T01-1-00109zbMATH Open1065.91535OpenAlexW1970175984MaRDI QIDQ4458356FDOQ4458356
Authors: Juan Gu, Jianqing Fan 
Publication date: 17 March 2004
Published in: Econometrics Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1368-423x.t01-1-00109
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Point estimation (62F10) Nonparametric estimation (62G05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82) Microeconomic theory (price theory and economic markets) (91B24)
Cites Work
- Generalized autoregressive conditional heteroscedasticity
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- A theory of the term structure of interest rates
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- Statistical inference for time-inhomogeneous volatility models.
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- Pricing interest-rate-derivative securities
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- Nonparametric Autoregression with Multiplicative Volatility and Additive mean
- A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
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- Parameter estimation for discretely observed stochastic volatility models
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Cited In (22)
- Dynamic semiparametric models for expected shortfall (and value-at-risk)
- Nonparametric estimation of conditional VaR and expected shortfall
- Variance reduction technique for calculating value at risk in fixed income portfolios
- A nonparametric approach to calculating value-at-risk
- A new time-varying optimal copula model identifying the dependence across markets
- Adjusted empirical likelihood for value at risk and expected shortfall
- Estimation of value-at-risk using single index quantile regression
- Estimating VaR by nonparametric estimation with mixed distribution: empirical investigation of futures market
- Nonparametric Estimation for Risk in Value-at-Risk Estimator
- Empirical likelihood-based evaluations of value at risk models
- Bias reduction in risk modelling: semi-parametric quantile estimation
- Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
- Probability-unbiased Value-at-Risk estimators
- Nonparametric estimation of operational value-at-risk (OpVaR)
- Semi-parameter approach based on EGARCH-VaR model and empirical research
- Inference for conditional value-at-risk of a predictive regression
- A selective overview of nonparametric methods in financial econometrics
- Saddle point approximation and volatility estimation of value-at-risk
- Multiscale local change point detection with applications to value-at-risk
- A Bayesian encompassing test using combined value-at-risk estimates
- Adaptive likelihood estimator of conditional variance function
- Estimating value at risk with semiparametric support vector quantile regression
Uses Software
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