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Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk

Rockafellar, Ralph Tyrrell; Royst, Johannes O.; … - In: European journal of operational research : EJOR 234 (2014) 1, pp. 140-154

Persistent link: https://www.econbiz.de/10010247347

Confidence intervals for conditional tail risk measures in ARMA-GARCH models

Hoga, Yannick - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 4, pp. 613-624

Persistent link: https://www.econbiz.de/10012179001

Non-Gaussian models for CoVaR estimation

Bianchi, Michele Leonardo; De Luca, Giovanni; … - In: International journal of forecasting 39 (2023) 1, pp. 391-404

Persistent link: https://www.econbiz.de/10014462788

Value-at-risk: the comparison of state-of-the-art models on varous assets

Kielak, Karol; Ślepaczuk, Robert - 2020

Persistent link: https://www.econbiz.de/10012322235

Value at risk models in Indian markets : a predictive ability evaluation study

Goel, Kushagra; Oswal, Sunny - In: Theoretical economics letters 9 (2019) 8, pp. 2824-2838

Persistent link: https://www.econbiz.de/10012214623

A new variance reduction technique for estimating value-at-risk

Korn, Ralf; Pupashenko, Mykhailo - In: Applied mathematical finance 22 (2015) 1/2, pp. 83-98

Persistent link: https://www.econbiz.de/10010505164

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

Value-at-risk estimation with stochastic interest rate models for option-bond portfolios

Wang, Xiaoyu; Xie, Dejun; Jiang, Jingjing; Wu, Xiaoxia; … - In: Finance research letters 21 (2017), pp. 10-20

Persistent link: https://www.econbiz.de/10011807256

A note on stochastic volatility model estimation

Abbara, Omar; Zevallos, Mauricio - In: Revista Brasileira de Finanças : RBFin 17 (2019) 4, pp. 22-32

Persistent link: https://www.econbiz.de/10012221531

Dynamic quantile function models

Chen, Wilson Ye; Peters, Gareth; Gerlach, Richard H.; … - In: Quantitative finance 22 (2022) 9, pp. 1665-1691

Persistent link: https://www.econbiz.de/10013367940