Conditional value-at-risk: semiparametric estimation and inference

DOI10.1016/j.jeconom.2016.07.002zbMath1443.62373OpenAlexW2485542002MaRDI QIDQ311646

Zhibiao Zhao, Chuan-Sheng Wang

Publication date: 13 September 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.07.002

zbMATH Keywords

bootstrapquantile regressionnonlinear time seriessemiparametric methodsconditional value-at-riskconditional expected shortfall

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (6)

Non asymptotic controls on a recursive superquantile approximation ⋮ Estimation of heteroscedasticity by local composite quantile regression and matrix decomposition ⋮ Quantile Estimation of Regression Models with GARCH-X Errors ⋮ A data-driven framework for consistent financial valuation and risk measurement ⋮ NONPARAMETRIC DENSITY ESTIMATION BY B-SPLINE DUALITY ⋮ Econometric modeling of risk measures: a selective review of the recent literature

Uses Software

• CAViaR
• Rugarch
• RiskMetrics

Cites Work

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• REGRESSION QUANTILES FOR TIME SERIES
• Limit theorems for iterated random functions
• Inference in Arch and Garch Models with Heavy-Tailed Errors
• Nonparametric Estimation of Nonadditive Random Functions
• Threshold heteroskedastic models
• Preface

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