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A new semiparametric mirrored historical simulation value-at-risk model

Radivojević, Nikola; Filipović, Luka; Brzaković, … - In: Romanian journal of economic forecasting 23 (2020) 1, pp. 5-21

Persistent link: https://www.econbiz.de/10012421878

Bayesian bandwidth selection for a nonparametric regression model with mixed types of regressors

Zhang, Xibin; King, Maxwell L.; Shang, Han Lin - In: Econometrics : open access journal 4 (2016) 2, pp. 1-27

This paper develops a sampling algorithm for bandwidth estimation in a nonparametric regression model with continuous and discrete regressors under an unknown error density. The error density is approximated by the kernel density estimator of the unobserved errors, while the regression function...

Persistent link: https://www.econbiz.de/10011506243

A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation

Ausín, M. Concepción; Galeano, Pedro; Ghosh, Pulak - In: European journal of operational research : EJOR 232 (2014) 2, pp. 350-358

Persistent link: https://www.econbiz.de/10010224698

Nonparametric factor analytic risk measurement in common stocks in financial firms : evidence from Korean firms

Baek, Seungho; Cursio, Joseph D.; Cha, Seung Y. - In: Asia-Pacific journal of financial studies 44 (2015) 4, pp. 497-536

Persistent link: https://www.econbiz.de/10011470947

Risk analysis with categorical explanatory variables

Kang, Seul Ki; Peng, Liang; Xiao, Hongmin - In: Insurance / Mathematics & economics 91 (2020), pp. 238-243

Persistent link: https://www.econbiz.de/10012242018

Increasing the risk management effectiveness from higher accuracy : a novel non-parametric method

Huang, Jinbo; Ding, Ashley; Li, Yong; Lu, Dong - In: Pacific-Basin finance journal 62 (2020), pp. 1-15

Persistent link: https://www.econbiz.de/10012491732

On the estimation of Value-at-Risk and Expected Shortfall at extreme levels

Lazar, Emese; Pan, Jingqi; Wang, Shixuan - In: Journal of commodity markets : JCM 34 (2024), pp. 1-14

Persistent link: https://www.econbiz.de/10014548240

The estimation of Value-at-Risk using a non-parametric approach

Olfat, Amir; Eskandari, Farzad - In: Journal of risk management in financial institutions 16 (2022/2023) 2, pp. 180-188

Persistent link: https://www.econbiz.de/10014286672

Estimation of extreme value-at-risk : an EVT approach for quantile GARCH model

Yi, Yanping; Feng, Xingdong; Huang, Zhuo - In: Economics letters 124 (2014) 3, pp. 378-381

Persistent link: https://www.econbiz.de/10010495168

Nonparametric estimation of operational value-at-risk (OpVaR)

Tursunalieva, Ainura; Silvapulla, Param - In: Insurance / Mathematics & economics 69 (2016), pp. 194-201

Persistent link: https://www.econbiz.de/10011530959