Quantile-based smooth transition value at risk estimation

DOI10.1093/ECTJ/UTZ009MaRDI QIDQ5084340zbMATH OpenOpenAlexWikidataFDO

Authors Stefan Hubner, P. Čížek

Publication date 24 June 2022

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://research-information.bris.ac.uk/en/publications/f172ee11-9d5b-4bb4-985c-72ef4e37c667

zbMATH Keywords

CAViaRcomposite quantile regressionconditional quantilesGARCHregime switchingsieve estimationsmooth transition

Mathematics Subject Classification ID

Statistics (62-XX)

Cited in

(2)

• Using Smooth Transition Regressions to Model Risk Regimes
• Asymptotic properties of ReLU FFN sieve estimators

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