Inference for conditional value-at-risk of a predictive regression

DOI10.1214/19-AOS1937zbMath1469.62250OpenAlexW3112224177MaRDI QIDQ1996776

Liang Peng, Yi He, Yanxi Hou, Haipeng Shen

Publication date: 26 February 2021

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aos/1607677242

zbMATH Keywords

quantile regressionvalue-at-riskinterval estimationempirical likelihoodrisk managementleast squares estimationconditional risk measures

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Statistical methods; risk measures (91G70)

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Uses Software

• CAViaR
• QRM

Cites Work

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