Probability-unbiased Value-at-Risk estimators

DOI10.1080/14697681003687569zbMath1278.62166OpenAlexW2058238671MaRDI QIDQ2869965

Ivo Francioni, Florian Herzog

Publication date: 17 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697681003687569

zbMATH Keywords

Gaussian processesrisk measuresvalue at riskparameter estimation techniques

Mathematics Subject Classification ID

Gaussian processes (60G15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Point estimation (62F10) Economic time series analysis (91B84)

Related Items (1)

Estimating and backtesting risk under heavy tails

Cites Work

• Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
• Coherent Measures of Risk
• Order Statistics

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