Value at risk linear exponent (VARLINEX) forecasts

DOI10.1088/1469-7688/3/4/309MaRDI QIDQ4647276zbMATH OpenOpenAlexFDO

Authors

Publication date 14 January 2019

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1088/1469-7688/3/4/309

zbMATH Keywords

forecastsvalue at risk linear exponent

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Statistical methods; risk measures (91G70)

Recommendations

• Generalized value at risk forecasting
• Non-Linear Value-at-Risk *
• Nonlinear expectile regression with application to value-at-risk and expected shortfall estimation
• Exponentially smoothing the skewed Laplace distribution for value-at-risk forecasting
• Forecasting value-at-risk with a duration-based POT method
• Value–at–Risk Models
• Value at risk estimation

Cites work

• Bayesian Estimation and Prediction Using Asymmetric Loss Functions
• Exponential risk measure with application to UK asset allocation
• scientific article; zbMATH DE number 412096 (Why is no real title available?)
• scientific article; zbMATH DE number 3881695 (Why is no real title available?)
• scientific article; zbMATH DE number 794688 (Why is no real title available?)
• Kernel Quantile Estimators
• Median Predictive Cost of Error with an Asymmetric Cost Function
• Risk, Return, and Utility
• The bootstrap and Edgeworth expansion

Cited in

(1)

• Estimating quantiles with Linex loss function. Applications to VaR estimation

Describes a project that uses

Uses Software

• RiskMetrics
• Dowd

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