Adjusted extreme conditional quantile autoregression with application to risk measurement

DOI10.1155/2021/6697120zbMath1468.62273OpenAlexW3152984303MaRDI QIDQ2039159

Ananda O. Kube, Peter N. Mwita, Martin M. Kithinji

Publication date: 2 July 2021

Published in: Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2021/6697120

zbMATH Keywords

extreme conditional quantile autoregression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32)

Uses Software

• CAViaR
• QRM

Cites Work

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• Limiting distributions for \(L_1\) regression estimators under general conditions
• Extremal quantile regression
• Robust estimation and inference for heavy tailed GARCH
• Noncrossing quantile regression curve estimation
• Quantile and Probability Curves Without Crossing
• Parameter and Quantile Estimation for the Generalized Pareto Distribution
• Regression Quantiles
• Value-at-Risk Prediction: A Comparison of Alternative Strategies

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