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

MaRDI QIDQ4902810zbMATH OpenFDO

Authors Xin Yang

Publication date 18 January 2013

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

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)

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