Evaluation of condition VaR based on threshold quantile regression model

MaRDI QIDQ5318633zbMATH OpenFDO

Authors Wuyi Ye, Baiqi Miao

Publication date 22 July 2009

zbMATH Keywords

back-test methodsconditional value at riskthreshold quantile regression model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Evaluating value-at-risk models via quantile regression
• Evaluating CVaR conditioned on VPIN based on the threshold quantile regression model
• On some models for value-at-risk
• Financial risk management based on quantile regression model
• Evaluating multiperiod VaR via support vector quantile regression

Cited in

(4)

• Evaluating CVaR conditioned on VPIN based on the threshold quantile regression model
• scientific article; zbMATH DE number 7219003 (Why is no real title available?)
• \({L_p}\) quantile regression with realized measure
• Financial risk management based on quantile regression model

This page was built for publication: Evaluation of condition VaR based on threshold quantile regression model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5318633)