CAViaR

swMATH4424MaRDI QIDQ16600FDOQ16600

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

• 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
• Bad environments, good environments: a non-Gaussian asymmetric volatility model
• Backtesting extreme value theory models of expected shortfall
• A review of backtesting for value at risk
• Copula-based risk management models for multivariable RMB exchange rate in the process of RMB internationalization
• On the Measurement of Economic Tail Risk
• Triple seasonal methods for short-term electricity demand forecasting
• A smoothing stochastic algorithm for quantile estimation
• On Some Models for Value-At-Risk
• Incorporating higher moments into value-at-risk forecasting
• Dynamic semiparametric models for expected shortfall (and value-at-risk)
• An MCMC approach to classical estimation.
• Nonparametric estimation of conditional VaR and expected shortfall
• Bayesian tail risk interdependence using quantile regression
• Intradaily dynamic portfolio selection
• Dynamic quantile models
• Semiparametric estimation of Value at Risk
• Practical implications of higher moments in risk management
• Network quantile autoregression
• Markov regime-switching quantile regression models and financial contagion detection
• Value at Risk with time varying variance, skewness and kurtosis-the NIG-ACD model
• Granger causality in risk and detection of extreme risk spillover between financial markets
• Estimating structural changes in regression quantiles
• Quantile Regression Estimator for GARCH Models
• VAR for VaR: measuring tail dependence using multivariate regression quantiles
• Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity
• Dynamic quantile function models
• Conditional quantiles and tail dependence
• Validating forecasts of the joint probability density of bond yields: can affine models beat random walk?
• Testing for Granger-causality in quantiles
• Smoothing methods for histogram‐valued time series: an application to value‐at‐risk
• Artifactual unit root behavior of value at risk (VaR)
• Quantiles, expectiles and splines
• Conditional value-at-risk: semiparametric estimation and inference
• Local likelihood density estimation and value-at-risk
• Reconciling negative return skewness with positive time-varying risk premia
• Testing conditional asymmetry: a residual-based approach
• A linearized value-at-risk model with transaction costs and short selling
• A novel grey prediction model based on quantile regression
• Detection of structural breaks in a time-varying heteroskedastic regression model
• Title not available (Why is that?)
• Predicting extreme value at risk: nonparametric quantile regression with refinements from extreme value theory
• Copula-based nonlinear quantile autoregression
• Take it to the limit: innovative CVaR applications to extreme credit risk measurement
• برآورد مدل اتورگرسیو چندکی خطی با استفاده از الگوریتم EM تصادفی
• Empirical likelihood-based evaluations of value at risk models
• Bayesian value-at-risk and expected shortfall forecasting via the asymmetric Laplace distribution
• A joint quantile and expected shortfall regression framework
• A Survey on Time-Varying Copulas: Specification, Simulations, and Application
• Nonparametric estimation of value-at-risk
• The quantilogram: with an application to evaluating directional predictability
• Financial econometrics -- a new discipline with new methods. (With comments)
• Forecasting daily supermarket sales using exponentially weighted quantile regression
• Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution
• Bayesian estimation of smoothly mixing time-varying parameter GARCH models
• Estimation of extreme value-at-risk: an EVT approach for quantile GARCH model

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