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Nonparametric estimation of value-at-risk - MaRDI portal

Nonparametric estimation of value-at-risk (Q5123417)

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scientific article; zbMATH DE number 7252208
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English
Nonparametric estimation of value-at-risk
scientific article; zbMATH DE number 7252208

    Statements

    title
    Nonparametric estimation of value-at-risk (English)
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    author
    Seok-Oh Jeong
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    Kee-Hoon Kang
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    publication date
    28 September 2020
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    zbMATH Keywords
    value-at-risk
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    volatility
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    local homogeneity
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    quantile estimation
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    risk management
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    KOSPI
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    Identifiers

    zbMATH DE Number
    7252208
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    OpenAlex ID
    W2005145017
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