The data-based choice of bandwidth for kernel quantile estimator of VaR

zbMATH Open1255.91189MaRDI QIDQ4902810FDOQ4902810

Authors: Xin Yang 

Publication date: 18 January 2013

Full work available at URL: http://www.pphmj.com/abstract/7186.htm

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zbMATH Keywords

kernel quantile estimatorVaRchoice of bandwidth

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; economic indices and measures (91B82)

Cited In (3)

• Efficiency of the smoothed VaR estimator in financial risk management
• Distribution kernel estimator of VaR and its applications for mixing sequences
• How useful is yet another data-driven bandwidth in long-run variance estimation? A simulation study on cointegrating regressions

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