An Extensive Comparison of Some Well‐Established Value at Risk Methods

DOI10.1111/insr.12393OpenAlexW3044102127MaRDI QIDQ6088259

Unnamed Author, Unnamed Author, Adrian Pizzinga, Wilson Calmon, Unnamed Author

Publication date: 13 December 2023

Published in: International Statistical Review (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/insr.12393

zbMATH Keywords

backtestextreme value theoryCAViaRhigher order momentsfiltered historical simulation

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)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Bayesian estimation of a skew-Student-\(t\) stochastic volatility model
• Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements
• Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
• Generalized autoregressive conditional heteroscedasticity
• Asymptotics for the linear kernel quantile estimator
• A detailed comparison of value at risk estimates
• On Some Models for Value-At-Risk
• Incorporating higher moments into value-at-risk forecasting
• On Bayesian Modeling of Fat Tails and Skewness
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Autoregressive Conditional Density Estimation
• The Stationary Bootstrap
• NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY
• Hybrid Quantile Regression Estimation for Time Series Models with Conditional Heteroscedasticity
• Evaluating Value-at-Risk Models via Quantile Regression
• Nonparametric Quantile Estimations for Dynamic Smooth Coefficient Models

This page was built for publication: An Extensive Comparison of Some Well‐Established Value at Risk Methods