Extreme quantile estimation based on financial time series

DOI10.1080/03610918.2015.1112908zbMath1377.62196OpenAlexW2311211153MaRDI QIDQ5373851

Santanu Dutta, Suparna Biswas

Publication date: 27 October 2017

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

Full work available at URL: https://doi.org/10.1080/03610918.2015.1112908

zbMATH Keywords

Monte Carlo simulationmarket riskfinancial time seriesquantile estimationVaRextreme quantile estimationmedian shortfallsample performance

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) Statistics of extreme values; tail inference (62G32) Economic time series analysis (91B84)

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