scientific article; zbMATH DE number 1932370

zbMATH Open1049.91098MaRDI QIDQ4709643FDOQ4709643

Authors: Hongquan Zhu, Zudi Lu, Shouyang Wang 

Publication date: 2002

Title of this publication is not available (Why is that?)

Recommendations

• Kernel estimation of extreme regression risk measures
• Nonparametric estimation of value-at-risk
• Risk analysis of portfolio selection based on kernel density estimation
• A nonparametric approach to calculating value-at-risk
• Kernel-type estimators for the distortion risk premiums of heavy-tailed distributions
• Capital allocation for credit portfolios with kernel estimators
• On approximations of value at risk and expected shortfall involving kurtosis
• On some models for value-at-risk

zbMATH Keywords

asymptotic normalityasymptotic variancedata generating process

Mathematics Subject Classification ID

Cited In (15)

• A nonparametric approach to calculating value-at-risk
• Machine learning with kernels for portfolio valuation and risk management
• Nonparametric estimation of value-at-risk of Chinese stock market
• Efficiency of the smoothed VaR estimator in financial risk management
• Distribution kernel estimator of VaR and its applications for mixing sequences
• Local likelihood density estimation and value-at-risk
• The data-based choice of bandwidth for kernel quantile estimator of VaR
• Nonparametric Estimation for Risk in Value-at-Risk Estimator
• Title not available (Why is that?)
• Local polynomial estimation of SPDs with application to VaR models
• Nonparametric estimation of value-at-risk
• Asymptotics for the linear kernel quantile estimator
• Title not available (Why is that?)
• Nonparametric computation of VaR and CVaR for a type of financial series
• Title not available (Why is that?)

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4709643)