Search Results - subject:"conditional quantile"

Quantile sieve estimates for time series

Franke, Jürgen; Stockis, Jean-Pierre; Tadjuidje, Joseph - 2007

We consider the problem of estimating the conditional quantile of a time series at time t given observations of the …

Persistent link: https://www.econbiz.de/10010263674

Quantile Sieve Estimates For Time Series

Franke, Jürgen; Stockis, Jean-Pierre; Tadjuidje, Joseph - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007

We consider the problem of estimating the conditional quantile of a time series at time t given observations of the … consider the problem of estimating the conditional quantile of a time series at time t given observations of the same and … innovation distribution. They consider a class of models where the conditional quantile q t is specified as a function of …

Persistent link: https://www.econbiz.de/10005652729

Backtesting Parametric Value-at-Risk with Estimation Risk

Escanciano, Juan Carlos; Olmo, Jose - Center for Applied Economics and Policy Research … - 2007

One of the implications of the creation of Basel Committee on Banking Supervision was the implementation of Value-at-Risk (VaR) as the standard tool for measuring market risk. Since then, the capital requirements of commercial banks with trading activities are based on VaR estimates. Therefore,...

Persistent link: https://www.econbiz.de/10005547988

Nonparametric quantile regression with heavy-tailed and strongly dependent errors

Honda, Toshio - In: Annals of the Institute of Statistical Mathematics 65 (2013) 1, pp. 23-47

We consider nonparametric estimation of the conditional qth quantile for stationary time series. We deal with stationary time series with strong time dependence and heavy tails under the setting of random design. We estimate the conditional qth quantile by local linear regression and investigate...

Persistent link: https://www.econbiz.de/10010634437

Highlighting differences between conditional and unconditional quantile regression approaches through an application to assess medication adherence

Borah, Bijan J.; Basu, Anirban - In: Health economics 22 (2013) 9, pp. 1052-1070

Persistent link: https://www.econbiz.de/10010243063

Multiariate Wavelet-based sahpe preserving estimation for dependant observation

Cosma, Antonio; Scaillet, Olivier; Sachs, Rainer von - Swiss Finance Institute - 2005

discuss conditional quantile estimation for financial time series data. We show that our methodology can be easily implemented …

Persistent link: https://www.econbiz.de/10005771825

Empirical likelihood for conditional quantile with left-truncated and dependent data

Liang, Han-Ying; Uña-Álvarez, Jacobo - In: Annals of the Institute of Statistical Mathematics 64 (2012) 4, pp. 765-790

Persistent link: https://www.econbiz.de/10011000062

Pitfalls in backtesting Historical Simulation VaR models

Escanciano, Juan Carlos; Pei, Pei - In: Journal of Banking & Finance 36 (2012) 8, pp. 2233-2244

Historical Simulation (HS) and its variant, the Filtered Historical Simulation (FHS), are the most popular Value-at-Risk forecast methods at commercial banks. These forecast methods are traditionally evaluated by means of the unconditional backtest. This paper formally shows that the...

Persistent link: https://www.econbiz.de/10010599640

On the u-th Geometric Conditional Quantile

Cheng, Yebin; de Gooijer, Jan G. - 2004

type linear representation for the geometric conditional quantile estimator and obtain the convergence rate for the … corresponding remainder term. From this, asymptotic normality on the estimated geometric conditional quantile is derived. Based on …

Persistent link: https://www.econbiz.de/10010325602

Estimation of Copula-Based Semiparametric Time Series Models

Fan, Yanqin; Chen, Xiaohong - Econometric Society - 2004

normality can be obtained using the Delta method. In addition, the semiparametric conditional quantile estimators are …

Persistent link: https://www.econbiz.de/10005702756