Alternative Approximations to Value-At-Risk: A Comparison
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Publication:2876139
DOI10.1080/03610918.2012.756911zbMath1296.41027OpenAlexW2049022674MaRDI QIDQ2876139
Donald Lien, Keying Ye, Xiao-Bin Yang
Publication date: 18 August 2014
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610918.2012.756911
Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Statistical methods; economic indices and measures (91B82)
Related Items (3)
The expected-based value-at-risk and expected shortfall using quantile and expectile with application to electricity market data ⋮ On approximations of value at risk and expected shortfall involving kurtosis ⋮ Comparing VaR Approximation Methods that Use the First Four Moments as Inputs
Cites Work
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- A contribution to multivariate L-moments: L-comoment matrices
- Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
- Derivation of approximants to the inverse distribution function of a continuous univariate population from the order statistics of a sample
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