Estimation of value-at-risk by L^p quantile regression

DOI10.1007/S10463-024-00911-YMaRDI QIDQ6664136zbMATH OpenFDO

Authors Peng Sun, Fuming Lin, Hai-yang Xu, Kaizhi Yu

Publication date 16 January 2025

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S10463-024-00911-Y

zbMATH Keywords

\(L^p\) quantile regressioncalculation of VaRCAR-\(L^p\)-quantile modelsCLVaR modelsGARCH models

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• M-quantiles
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• Asymmetric Least Squares Estimation and Testing
• Coherence and elicitability
• Coherent measures of risk
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• Nonlinear expectile regression with application to value-at-risk and expected shortfall estimation
• Penalized high-dimensional M-quantile regression: from L^1 to L^p optimization
• Regression Quantiles
• Relating quantiles and expectiles under weighted-symmetry
• The kth power expectile estimation and testing
• The \(k\)th power expectile regression

Cited in

(1)

• Conditional generalized quantiles as systemic risk measures: properties, estimation, and application

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