Nonparametric estimation of value-at-risk

DOI10.1080/02664760802607517OpenAlexW2005145017MaRDI QIDQ5123417

Kee-Hoon Kang, Seok-Oh Jeong

Publication date: 28 September 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664760802607517

zbMATH Keywords

value-at-riskvolatilityquantile estimationrisk managementlocal homogeneityKOSPI

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (6)

Estimation of value-at-risk using single index quantile regression ⋮ Uncertainty Comparison Between Value-at-Risk and Expected Shortfall ⋮ A smooth non-parametric estimation framework for safety-first portfolio optimization ⋮ A robust statistical approach to select adequate error distributions for financial returns ⋮ Two nonparametric approaches to mean absolute deviation portfolio selection model ⋮ Portfolio optimization by using MeanSharp-βVaR and Multi Objective MeanSharp-βVaR models

Uses Software

• CAViaR

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Statistical inference for time-inhomogeneous volatility models.
• Nonparametric Risk Management With Generalized Hyperbolic Distributions
• Nonparametric Statistical Data Modeling
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• Unnamed Item

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