Using CAViaR models with implied volatility for value-at-risk estimation

DOI10.1002/FOR.1251MaRDI QIDQ4687309zbMATH OpenOpenAlexFDO

Authors James W. Taylor, Joo Young Jeon

Publication date 11 October 2018

Published in Journal of Forecasting (Search for Journal in Brave)

Full work available at URL https://strathprints.strath.ac.uk/39598/

zbMATH Keywords

quantile regressionmarket riskcombiningmaximum potential loss

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; risk measures (91G70)

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• VaR/CVaR estimation under stochastic volatility models
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• Pathwise CVA regressions with oversimulated defaults
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• A research based on POT-CAViaR model of extreme risk measure
• WRONG-WAY RISK CVA MODELS WITH ANALYTICAL EPE PROFILES UNDER GAUSSIAN EXPOSURE DYNAMICS
• A Bayesian encompassing test using combined value-at-risk estimates
• A quasi-Bayesian model averaging approach for conditional quantile models
• Asymmetric dynamics between uncertainty and unemployment flows in the United States
• High frequency-based quantile forecast and combination: an application to oil market
• Testing the predictive ability of corridor implied volatility under GARCH models
• Implied value-at-risk and model-free simulation

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