Semiparametric estimation of Value at Risk
From MaRDI portal
Publication:4458356
Recommendations
- Nonparametric Estimation for Risk in Value-at-Risk Estimator
- Estimating value at risk with semiparametric support vector quantile regression
- Nonparametric estimation of value-at-risk
- Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
- Estimation of value at risk: extreme value and robust approaches
Cites work
- scientific article; zbMATH DE number 991833 (Why is no real title available?)
- scientific article; zbMATH DE number 1228098 (Why is no real title available?)
- scientific article; zbMATH DE number 2042816 (Why is no real title available?)
- A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
- A theory of the term structure of interest rates
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Generalized autoregressive conditional heteroscedasticity
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- Nonparametric Autoregression with Multiplicative Volatility and Additive mean
- Parameter estimation for discretely observed stochastic volatility models
- Pricing interest-rate-derivative securities
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
- Statistical inference for time-inhomogeneous volatility models.
Cited in
(23)- Bias reduction in risk modelling: semi-parametric quantile estimation
- A nonparametric approach to calculating value-at-risk
- Adaptive likelihood estimator of conditional variance function
- Nonparametric estimation of conditional VaR and expected shortfall
- Nonparametric estimation of operational value-at-risk (OpVaR)
- A Bayesian encompassing test using combined value-at-risk estimates
- Semiparametric varying-coefficient expectile model for estimating value at risk on dependent samples
- Saddle point approximation and volatility estimation of value-at-risk
- Estimation of value-at-risk using single index quantile regression
- Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
- Estimating value at risk with semiparametric support vector quantile regression
- Variance reduction technique for calculating value at risk in fixed income portfolios
- Multiscale local change point detection with applications to value-at-risk
- Semi-parameter approach based on EGARCH-VaR model and empirical research
- Estimating VaR by nonparametric estimation with mixed distribution: empirical investigation of futures market
- A selective overview of nonparametric methods in financial econometrics
- A new time-varying optimal copula model identifying the dependence across markets
- Empirical likelihood-based evaluations of value at risk models
- Adjusted empirical likelihood for value at risk and expected shortfall
- Nonparametric Estimation for Risk in Value-at-Risk Estimator
- Inference for conditional value-at-risk of a predictive regression
- Probability-unbiased Value-at-Risk estimators
- Dynamic semiparametric models for expected shortfall (and value-at-risk)
This page was built for publication: Semiparametric estimation of Value at Risk
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4458356)
