Quantile-based estimative VaR forecast and dependence measure: a simulation approach

DOI10.1155/2020/8276019MaRDI QIDQ778634zbMATH OpenOpenAlexFDO

Authors K. I. A. Syuhada, Risti Nur'aini, Mahfudhotin

Publication date 3 July 2020

Published in Journal of Applied Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2020/8276019

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites work

• scientific article; zbMATH DE number 824933 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• A detailed comparison of value at risk estimates
• Assessing value at risk with CARE, the conditional autoregressive expectile models
• Continuous Bivariate Distributions
• Estimating value at risk of portfolio by conditional copula-GARCH method
• Forecasting value-at-risk with a duration-based POT method
• Improved Prediction Limits For AR(p) and ARCH(p) Processes
• Improved prediction intervals for stochastic process models
• Optimal dynamic hedging via copula-threshold-GARCH models
• The asymptotic efficiency of improved prediction intervals
• The meta-elliptical distributions with given marginals

Cited in

(2)

• Quantile forecasts for financial volatilities based on parametric and asymmetric models
• The expected-based value-at-risk and expected shortfall using quantile and expectile with application to electricity market data

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