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Kernel conditional quantile estimation for stationary processes with application to conditional value-at-risk

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Persistent link: https://www.econbiz.de/10003687936

Efficient estimation of copula-based semiparametric Markov models

Chen, Xiaohong; Wu, Wei Biao; Yi, Yanping - 2009

This paper considers efficient estimation of copula-based semiparametric strictly stationary Markov models. These models are characterized by nonparametric invariant distributions and parametric copula functions; where the copulas capture all scale-free temporal dependence and tail dependence of...

Persistent link: https://www.econbiz.de/10003817253

Efficient estimation of copula-based semiparametric Markov models

Chen, Xiaohong; Wu, Wei Biao; Yi, Yanping - 2009

Persistent link: https://www.econbiz.de/10003808786

Efficient Estimation of Copula-Based Semiparametric Markov Models

Chen, Xiaohong - 2009

This paper considers efficient estimation of copula-based semiparametric strictly stationary Markov models. These models are characterized by nonparametric invariant (one-dimensional marginal) distributions and parametric bivariate copula functions; where the copulas capture temporal dependence...

Persistent link: https://www.econbiz.de/10012718937

Kernel quantile-based estimation of expected shortfall

Yu, Keming; Ally, Abdallah K.; Yang, Shanchao; Hand, D. J. - In: Journal of risk 12 (2009/10) 4, pp. 15-32

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A large CVaR-based portfolio selection model with weight constraints

Xu, Qifa; Zhou, Yingying; Jiang, Cuixia; Yu, Keming; … - In: Economic modelling 59 (2016), pp. 436-447

Persistent link: https://www.econbiz.de/10011647901

Mixed data sampling expectile regression with applications to measuring financial risk

Xu, Qifa; Chen, Lu; Jiang, Cuixia; Yu, Keming - In: Economic modelling 91 (2020), pp. 469-486

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Single-index expectile models for estimating conditional value at risk and expected shortfall

Jiang, Rong; Hu, Xueping; Yu, Keming - In: Journal of financial econometrics 20 (2022) 2, pp. 345-366

Persistent link: https://www.econbiz.de/10013187986

Efficient estimation of copula-based semiparametric Markov models

Chen, Xiaohong; Wu, Wei Biao; Yi, Yanping - 2009

Persistent link: https://www.econbiz.de/10010288444

Long-short portfolio optimization in the presence of discrete asset choice constraints and two risk measures

Kumar, Ritesh; Mitra, Gautam; Roman, Diana - In: Journal of risk 13 (2010/11) 2, pp. 71-100

Persistent link: https://www.econbiz.de/10008807862