Nonparametric Estimation for Risk in Value-at-Risk Estimator

DOI10.1081/SAC-120023877zbMath1100.62613MaRDI QIDQ4431289

Yi-Ping Chang, Ming-Chin Hung, Yi-Fang Wu

Publication date: 19 October 2003

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05)

Related Items (2)

The expected-based value-at-risk and expected shortfall using quantile and expectile with application to electricity market data ⋮ Portfolio Optimization with Nonparametric Value at Risk: A Block Coordinate Descent Method

Uses Software

• RiskMetrics

Cites Work

• Unnamed Item
• Asymptotic normality of the kernel quantile estimator
• Weak and strong uniform consistency of the kernel estimate of a density and its derivatives
• Smoothing methods in statistics
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• A new distribution-free quantile estimator
• On a distribution-free quantile estimator.

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