Value at risk linear exponent (VARLINEX) forecasts

DOI10.1088/1469-7688/3/4/309zbMath1405.91705OpenAlexW2110219324MaRDI QIDQ4647276

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Publication date: 14 January 2019

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

Full work available at URL: https://doi.org/10.1088/1469-7688/3/4/309

zbMATH Keywords

forecastsvalue at risk linear exponent

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Statistical methods; risk measures (91G70)

Uses Software

• Dowd
• RiskMetrics

Cites Work

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• Kernel Quantile Estimators
• Bayesian Estimation and Prediction Using Asymmetric Loss Functions
• Median Predictive Cost of Error with an Asymmetric Cost Function
• Exponential risk measure with application to UK asset allocation
• Risk, Return, and Utility
• The bootstrap and Edgeworth expansion

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