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Nonparametric estimation of extreme quantiles with an application to longevity risk

Bolancé, Catalina; Guillén, Montserrat - In: Risks : open access journal 9 (2021) 4, pp. 1-23

A new method to estimate longevity risk based on the kernel estimation of the extreme quantiles of truncated age-at-death distributions is proposed. Its theoretical properties are presented and a simulation study is reported. The flexible yet accurate estimation of extreme quantiles of...

Persistent link: https://www.econbiz.de/10012508762

Estimating and predicting value-at-risk in the presence of structural breaks : A study based on unbiased extreme value volatility estimator

Kumar, Dilip - In: The journal of prediction markets 14 (2020) 1, pp. 27-48

Persistent link: https://www.econbiz.de/10012667394

Pro-cyclicality of risk measurements - empirical quantification and theoretical confirmation

Bräutigam, Marcel - 2020

Persistent link: https://www.econbiz.de/10012488824

Backtesting and estimation error : value-at-risk overviolation rate

Tsafack, Georges; Cataldo, James M. - In: Empirical economics : a quarterly journal of the … 61 (2021) 3, pp. 1351-1396

Persistent link: https://www.econbiz.de/10012616952

ExpectHill estimation, extreme risk and heavy tails

Daouia, Abdelaati; Girard, Stéphane; Stupfler, Gilles - In: Journal of econometrics 221 (2021) 1, pp. 97-117

Persistent link: https://www.econbiz.de/10012618802

Risk decomposition, estimation error, and naïve diversification

Haensly, Paul J. - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-34

Persistent link: https://www.econbiz.de/10012654769

Modeling of risk measure bonds using the beta model

Hachicha, Fatma; Hachicha, Ahmed; Masmoudi, Afif - In: Review of Pacific Basin financial markets and policies 24 (2021) 4, pp. 2150033-1-2150033-18

Persistent link: https://www.econbiz.de/10012805199

Asymmetric jump beta estimation with implications forportfolio risk management

Alexeev, Vitali; Urga, Giovanni; Yao, Wenying - 2017

Persistent link: https://www.econbiz.de/10012806610

Value-at-risk and expected shortfall using the unbiased extreme value volatility estimator

Kumar, Dilip; Maheswaran, Srinivasan - In: Studies in economics and finance 34 (2017) 4, pp. 506-526

Persistent link: https://www.econbiz.de/10011961097

Unbiased estimation of risk

Pitera, Marcin; Schmidt, Thorsten - In: Journal of banking & finance 91 (2018), pp. 133-145

Persistent link: https://www.econbiz.de/10011963654

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