CAViaR

swMATH4424MaRDI QIDQ16600FDOQ16600

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Cited In (only showing first 100 items - show all)

• A detailed comparison of value at risk estimates
• Forecasting value-at-risk with a duration-based POT method
• Some recent developments on nonparametric econometrics
• Retirement consumption puzzle in Malaysia: evidence from Bayesian quantile regression model
• Nonlinear expectile regression with application to value-at-risk and expected shortfall estimation
• Dynamic portfolio insurance strategies: risk management under Johnson distributions
• Credible risk measures with applications in actuarial sciences and finance
• Mark to market value at risk
• Time-varying quantile association regression model with applications to financial contagion and VaR
• Dynamic expected shortfall: a spectral decomposition of tail risk across time horizons
• Variance clustering improved dynamic conditional correlation MGARCH estimators
• Residual-based rank specification tests for AR-GARCH type models
• Risk management of time varying floors for dynamic portfolio insurance
• Feasible invertibility conditions and maximum likelihood estimation for observation-driven models
• A robust closed-form estimator for the GARCH(1,1) model
• Nonparametric estimates for conditional quantiles of time series
• Portfolio selection in quantile decision models
• Risk measures in a quantile regression credibility framework with Fama/French data applications
• A Risk Measurement Model of China’s Non-Ferrous Metal Futures Market
• Probabilistic forecasting of wind power ramp events using autoregressive logit models
• Joint estimation of conditional quantiles in multivariate linear regression models with an application to financial distress
• Assessing interbank contagion using simulated networks
• A specification test for dynamic conditional distribution models with function-valued parameters
• Bayesian estimation and inference for log-ACD models
• Comparison of value-at-risk models using the MCS approach
• Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles
• The economic value of volatility timing using a range-based volatility model
• Accurate value-at-risk forecasting based on the normal-GARCH model
• Intraday value-at-risk: an asymmetric autoregressive conditional duration approach
• Markov-switching quantile autoregression: a Gibbs sampling approach
• Forecasting VaR and ES of stock index portfolio: a vine copula method
• A hybrid spline-based parametric model for the yield curve
• Improving daily value-at-risk forecasts: the relevance of short-run volatility for regulatory quality assessment
• Title not available (Why is that?)
• A new class of independence tests for interval forecasts evaluation
• Further critique of GARCH/ARMA/VAR/EVT Stochastic-Volatility models and related approaches
• Linear double autoregression
• Bayesian quantile regression model for claim count data
• A Component GARCH Model with Time Varying Weights
• Extreme risk spillover network: application to financial institutions
• Title not available (Why is that?)
• Exact inference in diagnosing value-at-risk estimates - a Monte Carlo device
• Value at Risk Estimation
• Regularized Bayesian quantile regression
• A conditional-SGT-VaR approach with alternative GARCH models
• Nonparametric Modeling in Financial Time Series
• Copula-based regression models: a survey
• Encoded value-at-risk: a machine learning approach for portfolio risk measurement
• Risk quantification and validation for Bitcoin
• Positive semidefinite integrated covariance estimation, factorizations and asynchronicity
• A comparison of bootstrap and Monte-Carlo testing approaches to value-at-risk diagnosis
• Using quantile regression for rate-making
• Elements of nonlinear time series analysis and forecasting
• Tests of strict stationarity based on quantile indicators
• A smooth block bootstrap for quantile regression with time series
• Two-sided exponential-geometric distribution: inference and volatility modeling
• Measuring contagion of subprime crisis based on MVMQ-CAViaR method
• Uniform calibration tests for forecasting systems with small lead time
• Quantile regression estimation for discretely observed SDE models with compound Poisson jumps
• Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics
• Semi-parametric Bayesian tail risk forecasting incorporating realized measures of volatility
• Predicting recovery rates using logistic quantile regression with bounded outcomes
• Hybrid quantile estimation for asymmetric power GARCH models
• GFC-robust risk management under the Basel accord using extreme value methodologies
• Dynamic large financial networks \textit{via} conditional expected shortfalls
• Impulse response analysis in conditional quantile models with an application to monetary policy
• Capturing deep tail risk via sequential learning of quantile dynamics
• An exponentially weighted quantile regression via SVM with application to estimating multiperiod VaR
• Forecasting value-at-risk in turbulent stock markets via the local regularity of the price process
• Estimation of value-at-risk using single index quantile regression
• Test for tail index constancy of GARCH innovations based on conditional volatility
• Tail Granger causalities and where to find them: extreme risk spillovers vs spurious linkages
• Nonstationary nonlinear quantile regression
• Adaptive hyperbolic asymmetric power ARCH (A-HY-APARCH) model: stability and estimation
• Efficient factor GARCH models and factor-DCC models
• Risk measurement for conditionally heteroscedastic location-scale time series models with ASTD and AEPD innovations
• Adjusted extreme conditional quantile autoregression with application to risk measurement
• A new approach to measure systemic risk: a bivariate copula model for dependent censored data
• Estimating impulse-response functions for macroeconomic models using directional quantiles
• Test for conditional quantile change in GARCH models
• Econometric modeling of risk measures: a selective review of the recent literature
• An elastic-net penalized expectile regression with applications
• Reduced form vector directional quantiles
• Forecasting risk via realized GARCH, incorporating the realized range
• The \(k\)th power expectile regression
• Quantile regression for location-scale time series models with conditional heteroscedasticity
• Quantile hidden semi-Markov models for multivariate time series
• Computation of the corrected Cornish-Fisher expansion using the response surface methodology: application to \textit{VaR} and \textit{CVaR}
• Optimal smoothing in nonparametric conditional quantile derivative function estimation
• On the predictive risk in misspecified quantile regression
• Semi-parametric expected shortfall forecasting in financial markets
• Liquidity and volatility in the U.S. Treasury market
• Model selection based on value-at-risk backtesting approach for GARCH-type models
• Multistep quantile forecasts for supply chain and logistics operations: bootstrapping, the GARCH model and quantile regression based approaches
• Monitoring procedures for strict stationarity based on the multivariate characteristic function
• Asymptotic properties of duration-based VaR backtests
• A Bayesian encompassing test using combined value-at-risk estimates
• Research on RMB exchange rate volatility risk based on MSGARCH-VaR model
• Estimating value-at-risk and expected shortfall using the intraday low and range data
• High frequency-based quantile forecast and combination: an application to oil market

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