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)

zbMATH Keywords

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

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• scientific article; zbMATH DE number 775727 (Why is no real title available?)
• scientific article; zbMATH DE number 854558 (Why is no real title available?)
• scientific article; zbMATH DE number 3336465 (Why is no real title available?)
• M-quantiles
• Assessing value at risk with CARE, the conditional autoregressive expectile models
• Asymmetric Least Squares Estimation and Testing
• Coherence and elicitability
• Coherent measures of risk
• Conditional \(L_ p\)-quantiles and their application to the testing of symmetry in non-parametric regression
• Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization
• 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 \(k\)th power expectile estimation and testing
• The \(k\)th power expectile regression

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