Estimation of Value-at-Risk and Expected Shortfall based on Nonlinear Models of Return Dynamics and Extreme Value Theory

DOI10.2202/1558-3708.1304MaRDI QIDQ5452737zbMATH OpenOpenAlexFDO

Authors Carlos Martins-Filho, Feng Yao

Publication date 4 April 2008

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2202/1558-3708.1304

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) 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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Cited in

(26)

• Backtesting extreme value theory models of expected shortfall
• ESTIMATION RISK IN GARCH VaR AND ES ESTIMATES
• Nonparametric estimation of conditional VaR and expected shortfall
• Dynamic semiparametric models for expected shortfall (and value-at-risk)
• Nonlinear expectile regression with application to value-at-risk and expected shortfall estimation
• How does the choice of Value-at-Risk estimator influence asset allocation decisions?
• Estimation of and inference about the expected shortfall for time series with infinite variance
• Approximation methods for multiple period Value at Risk and Expected Shortfall prediction
• Discussion on “on studying extreme values and systematic risks with nonlinear time series models and tail dependence measures”
• Discussion of ‘On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures’
• Discussion of ‘On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures’
• Estimating function approach for CHARN models
• GARCH-UGH: a bias-reduced approach for dynamic extreme value-at-risk estimation in financial time series
• Predicting extreme value at risk: nonparametric quantile regression with refinements from extreme value theory
• A COMPARISON OF SOME UNIVARIATE MODELS FOR VALUE-AT-RISK AND EXPECTED SHORTFALL
• On risk management problems related to a coherence property
• High-Order Conditional Quantile Estimation Based on Nonparametric Models of Regression
• A new method for extreme value at risk measure: QRNN+POT
• Estimation of tail-related value-at-risk measures: range-based extreme value approach
• A conditional-SGT-VaR approach with alternative GARCH models
• Conditional VAR and expected shortfall: a new functional approach
• NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY
• Estimating value-at-risk and expected shortfall using the intraday low and range data
• Comparing the small-sample estimation error of conceptually different risk measures
• Nonparametric regression estimation with general parametric error covariance
• Uncertainty Comparison Between Value-at-Risk and Expected Shortfall

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