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Conditional Quantile Estimators: A Small Sample Theory
Franguridi, Grigory; Gafarov, Bulat; Wüthrich, Kaspar - 2021
We study the small sample properties of conditional quantile estimators such as classical and IV quantile regression … asymptotic linear expansions with nearly optimal rates. Second, we study the higher-order bias of exact quantile estimators up to …
Persistent link: https://www.econbiz.de/10012582109
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Reconstruction of previous failure times and records
Klimczak, Monika; Rychlik, Tomasz - In: Metrika 61 (2005) 3, pp. 277-290
Persistent link: https://www.econbiz.de/10005756371
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Conditional quantile estimators : a small sample theory
Franguridi, Grigory; Gafarov, Bulat; Wüthrich, Kaspar - 2021
We study the small sample properties of conditional quantile estimators such as classical and IV quantile regression … asymptotic linear expansions with nearly optimal rates. Second, we study the higher-order bias of exact quantile estimators up to …
Persistent link: https://www.econbiz.de/10012509400
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Operational risk of option hedging
Mitra, Sovan - In: Economic modelling 33 (2013), pp. 194-203
Persistent link: https://www.econbiz.de/10010191991
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Quantiles and medians
Chambers, Christopher P. - California Institute of Technology, Division of the … - 2005
Persistent link: https://www.econbiz.de/10005482192
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Operational risk of option hedging
Mitra, Sovan - In: Economic Modelling 33 (2013) C, pp. 194-203
Value at Risk equation; this includes deriving a new analytical result for the quantile function of the half …
Persistent link: https://www.econbiz.de/10010737959
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Sensitivity Analysis of Values at Risk
Gouriéroux, Christian; Laurent, J.P.; Scaillet, Olivier - Institut de Recherche Économique et Sociale (IRES), … - 1999
The aim of this paper is to analyze the sensitivity of Value at Risk (VaR) with respect to portfolio allocation. We derive analytical expressions for the first and second derivatives of the Value at Risk, and explain how they can be used to simplify statistical inference and to perform a local...
Persistent link: https://www.econbiz.de/10004985208
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Asymptotic behaviour of mean-quantile efficient portfolios
Dmitrašinović-Vidović, Gordana; Ware, Antony - In: Finance and Stochastics 10 (2006) 4, pp. 529-551
Persistent link: https://www.econbiz.de/10005613457
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Inf-convolution and optimal allocations for mixed-VaRs
Xia, Zichao; Zou, Zhenfeng; Hu, Taizhong - In: Insurance / Mathematics & economics 108 (2023), pp. 156-164
Persistent link: https://www.econbiz.de/10013534516
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Efficient estimation of conditional risk measures in a semiparametric GARCH model
Yan, Yang; Shang, Dajing; Linton, Oliver - 2012
when estimating error quantiles. In order to prevent this efficiency loss in quantile estimation, we propose a quantile … estimator based on inverting an empirical likelihood weighted distribution estimator. It is found that the new quantile … estimator is uniformly more efficient than the simple empirical quantile and a quantile estimator based on normalized residuals …
Persistent link: https://www.econbiz.de/10009620388