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

DOI10.1016/J.ECONLET.2014.06.028MaRDI QIDQ485704zbMATH OpenOpenAlexFDO

Authors Yanping Yi, Xingdong Feng, Zhuo Huang

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 regressionsemiparametricextreme value theoryGARCHvalue at risk

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites work

• scientific article; zbMATH DE number 5243765 (Why is no real title available?)
• A note on second order conditions in extreme value theory: linking general and heavy tail conditions
• A simple general approach to inference about the tail of a distribution
• Autoregressive Conditional Density Estimation
• Conditional quantile estimation for generalized autoregressive conditional heteroscedasticity models
• Estimation of high conditional quantiles for heavy-tailed distributions
• Extreme value theory. An introduction.

Cited in

(10)

• Predicting extreme value at risk: nonparametric quantile regression with refinements from extreme value theory
• EVT-based estimation of risk capital and convergence of high quantiles
• A new method for extreme value at risk measure: QRNN+POT
• Adjusted extreme conditional quantile autoregression with application to risk measurement
• GARCH-UGH: a bias-reduced approach for dynamic extreme value-at-risk estimation in financial time series
• Estimation of tail-related value-at-risk measures: range-based extreme value approach
• The maximum \(L_q\)-likelihood method: an application to extreme quantile estimation in finance
• Intensity-based estimation of extreme loss event probability and value at risk
• Range-based risk measures and their applications
• Measurement of risk based on QR-GARCH-EVT model

Describes a project that uses

Uses Software

• CAViaR

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