Estimation of extreme value-at-risk: an EVT approach for quantile GARCH model

DOI10.1016/j.econlet.2014.06.028zbMath1303.62051OpenAlexW3122141131MaRDI QIDQ485704

Zhuo Huang, Xingdong Feng, Yanping Yi

Publication date: 14 January 2015

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2014.06.028

zbMATH Keywords

quantile regressionGARCHextreme value theorysemiparametricvalue at risk

Mathematics Subject Classification ID

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) Statistics of extreme values; tail inference (62G32)

Related Items (1)

GARCH-UGH: a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series

Uses Software

• CAViaR

Cites Work

• A simple general approach to inference about the tail of a distribution
• Conditional Quantile Estimation for Generalized Autoregressive Conditional Heteroscedasticity Models
• Autoregressive Conditional Density Estimation
• Estimation of High Conditional Quantiles for Heavy-Tailed Distributions
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