Semiparametric estimation of Value at Risk

DOI10.1111/1368-423X.t01-1-00109zbMath1065.91535OpenAlexW1970175984MaRDI QIDQ4458356

Juan Gu, Jianqing Fan

Publication date: 17 March 2004

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

Full work available at URL: https://doi.org/10.1111/1368-423x.t01-1-00109

zbMATH Keywords

quantilevolatilityaggregate returnschoice of decay factor

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Point estimation (62F10) Microeconomic theory (price theory and economic markets) (91B24) Statistical methods; economic indices and measures (91B82)

Related Items

Nonparametric estimation of conditional VaR and expected shortfall, A selective overview of nonparametric methods in financial econometrics, A Bayesian encompassing test using combined value-at-risk estimates, A new time-varying optimal copula model identifying the dependence across markets, Adjusted empirical likelihood for value at risk and expected shortfall, A nonparametric approach to calculating value-at-risk, Adaptive likelihood estimator of conditional variance function, Multiscale local change point detection with applications to value-at-risk, Empirical likelihood-based evaluations of value at risk models

Uses Software

• CAViaR
• RiskMetrics

Cites Work

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