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swMATH4424MaRDI QIDQ16600

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Quasi-maximum likelihood estimation for conditional quantiles ⋮ Dynamic portfolio insurance strategies: risk management under Johnson distributions ⋮ Bayesian tail risk interdependence using quantile regression ⋮ Estimation of copula-based semiparametric time series models ⋮ Forecasting value-at-risk in turbulent stock markets via the local regularity of the price process ⋮ Nonparametric estimates for conditional quantiles of time series ⋮ Markov regime-switching quantile regression models and financial contagion detection ⋮ The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series ⋮ Bayesian estimation of smoothly mixing time-varying parameter GARCH models ⋮ Variance clustering improved dynamic conditional correlation MGARCH estimators ⋮ The quantilogram: with an application to evaluating directional predictability ⋮ Validating forecasts of the joint probability density of bond yields: can affine models beat random walk? ⋮ Artifactual unit root behavior of value at risk (VaR) ⋮ Nonparametric estimation of conditional VaR and expected shortfall ⋮ Dynamic quantile models ⋮ Quantile cointegrating regression ⋮ Assessing value at risk with CARE, the conditional autoregressive expectile models ⋮ Granger causality in risk and detection of extreme risk spillover between financial markets ⋮ Copula-based regression models: a survey ⋮ Improving the value at risk forecasts: theory and evidence from the financial crisis ⋮ Testing conditional asymmetry: a residual-based approach ⋮ Conditional value-at-risk: semiparametric estimation and inference ⋮ A linearized value-at-risk model with transaction costs and short selling ⋮ Take it to the limit: innovative CVaR applications to extreme credit risk measurement ⋮ Test for conditional quantile change in GARCH models ⋮ Estimating impulse-response functions for macroeconomic models using directional quantiles ⋮ A smooth block bootstrap for quantile regression with time series ⋮ Forecasting daily supermarket sales using exponentially weighted quantile regression ⋮ Further critique of GARCH/ARMA/VAR/EVT Stochastic-Volatility models and related approaches ⋮ 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 ⋮ Confidence intervals for ARMA-GARCH value-at-risk: the case of heavy tails and skewness ⋮ Nonlinear expectile regression with application to value-at-risk and expected shortfall estimation ⋮ Encoded value-at-risk: a machine learning approach for portfolio risk measurement ⋮ Quantile hidden semi-Markov models for multivariate time series ⋮ Local likelihood density estimation and value-at-risk ⋮ The economic value of volatility timing using a range-based volatility model ⋮ A new class of independence tests for interval forecasts evaluation ⋮ Bayesian value-at-risk and expected shortfall forecasting via the asymmetric Laplace distribution ⋮ Predicting extreme value at risk: nonparametric quantile regression with refinements from extreme value theory ⋮ Intraday value-at-risk: an asymmetric autoregressive conditional duration approach ⋮ Statistical inference for conditional quantiles in nonlinear time series models ⋮ A smoothing stochastic algorithm for quantile estimation ⋮ Liquidity and volatility in the U.S. Treasury market ⋮ Model selection based on value-at-risk backtesting approach for GARCH-type models ⋮ An MCMC approach to classical estimation. ⋮ Practical implications of higher moments in risk management ⋮ Research on RMB exchange rate volatility risk based on MSGARCH-VaR model ⋮ Bayesian quantile regression model for claim count data ⋮ A comparison of bootstrap and Monte-Carlo testing approaches to value-at-risk diagnosis ⋮ Adaptive hyperbolic asymmetric power ARCH (A-HY-APARCH) model: stability and estimation ⋮ A novel grey prediction model based on quantile regression ⋮ Using quantile regression for rate-making ⋮ GFC-robust risk management under the Basel accord using extreme value methodologies ⋮ A detailed comparison of value at risk estimates ⋮ Forecasting value-at-risk with a duration-based POT method ⋮ Retirement consumption puzzle in Malaysia: evidence from Bayesian quantile regression model ⋮ Estimation of extreme value-at-risk: an EVT approach for quantile GARCH model ⋮ VAR for VaR: measuring tail dependence using multivariate regression quantiles ⋮ Mark to market value at risk ⋮ Positive semidefinite integrated covariance estimation, factorizations and asynchronicity ⋮ Risk management of time varying floors for dynamic portfolio insurance ⋮ Feasible invertibility conditions and maximum likelihood estimation for observation-driven models ⋮ Elements of nonlinear time series analysis and forecasting ⋮ Impulse response analysis in conditional quantile models with an application to monetary policy ⋮ Tail Granger causalities and where to find them: extreme risk spillovers vs spurious linkages ⋮ Probabilistic forecasting of wind power ramp events using autoregressive logit models ⋮ Time-varying quantile association regression model with applications to financial contagion and VaR ⋮ Inference for conditional value-at-risk of a predictive regression ⋮ Dynamic semiparametric models for expected shortfall (and value-at-risk) ⋮ A joint quantile and expected shortfall regression framework ⋮ Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity ⋮ Capturing deep tail risk via sequential learning of quantile dynamics ⋮ Quantile cointegration in the autoregressive distributed-lag modeling framework ⋮ An exponentially weighted quantile regression via SVM with application to estimating multiperiod VaR ⋮ Statistical properties of parametric estimators for Markov chain vectors based on copula models ⋮ Estimating value-at-risk and expected shortfall using the intraday low and range data ⋮ Joint estimation of conditional quantiles in multivariate linear regression models with an application to financial distress ⋮ Forecasting VaR and ES of stock index portfolio: a vine copula method ⋮ Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity ⋮ Linear double autoregression ⋮ Adjusted extreme conditional quantile autoregression with application to risk measurement ⋮ Bayesian estimation and inference for log-ACD models ⋮ Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles ⋮ Comparison of value-at-risk models using the MCS approach ⋮ Estimating structural changes in regression quantiles ⋮ The \(k\)th power expectile regression ⋮ Accurate value-at-risk forecasting based on the normal-GARCH model ⋮ Dynamic large financial networks \textit{via} conditional expected shortfalls ⋮ Monitoring procedures for strict stationarity based on the multivariate characteristic function ⋮ Empirical likelihood-based evaluations of value at risk models ⋮ Exact inference in diagnosing value-at-risk estimates - a Monte Carlo device ⋮ Financial econometrics: Past developments and future challenges ⋮ Financial econometrics -- a new discipline with new methods. (With comments) ⋮ High frequency-based quantile forecast and combination: an application to oil market ⋮ Asymptotic properties of duration-based VaR backtests ⋮ Uniform calibration tests for forecasting systems with small lead time ⋮ Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics ⋮ Hybrid quantile estimation for asymmetric power GARCH models ⋮ Monitoring parameter change for time series models with application to location-Scale heteroscedastic models

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