Local likelihood density estimation and value-at-risk

DOI10.1155/2010/754851zbMath1200.91303WikidataQ58652705 ScholiaQ58652705MaRDI QIDQ609720

Christian Gouriéroux, Joanna Jasiak

Publication date: 1 December 2010

Published in: Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/226799

Mathematics Subject Classification ID

62G07: Density estimation

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

Related Items

Value-at-Risk-efficient portfolios for a class of super- and sub-exponentially decaying assets return distributions, Dynamic quantile models, Assessing value at risk with CARE, the conditional autoregressive expectile models, Local Gaussian correlation: a new measure of dependence, Scenario generation for long run interest rate risk assessment

Uses Software

• CAViaR
• RiskMetrics

Cites Work

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• Dynamic quantile models
• Asymptotic normality of the kernel estimate under dependence conditions: Application to hazard rate
• Nonparameteric estimation in mixing sequences of random variables
• Local likelihood density estimation
• Locally parametric nonparametric density estimation
• A course in stochastic processes. Stochastic models and statistical inference
• BOOTSTRAPPING THE LONG RUN
• Asymptotic Properties of Non-Linear Least Squares Estimators