An exponentially weighted quantile regression via SVM with application to estimating multiperiod VaR

DOI10.1007/s10260-015-0332-9zbMath1405.62044OpenAlexW2187744099MaRDI QIDQ2013645

Cuixia Jiang, Qifa Xu, Yao-Yao He

Publication date: 8 August 2017

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10260-015-0332-9

zbMATH Keywords

quantile regressionfinancial risksupport vector machinevalue at riskexponential weightingSVEWQR

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70)

Related Items (2)

Sampling Lasso quantile regression for large-scale data ⋮ Data driven value-at-risk forecasting using a SVR-GARCH-KDE hybrid

Uses Software

• CAViaR
• RiskMetrics

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Consistency of a nonparametric conditional mode estimator for random fields
• VAR for VaR: measuring tail dependence using multivariate regression quantiles
• GACV for quantile smoothing splines
• A note on corrected scores for logistic regression
• Generalized autoregressive conditional heteroscedasticity
• Bayesian quantile regression for parametric nonlinear mixed effects models
• Estimating value at risk with semiparametric support vector quantile regression
• Regression Quantiles
• Quantile Regression in Reproducing Kernel Hilbert Spaces
• Evaluating Value-at-Risk Models via Quantile Regression

This page was built for publication: An exponentially weighted quantile regression via SVM with application to estimating multiperiod VaR