Predicting extreme value at risk: Nonparametric quantile regression with refinements from extreme value theory
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DOI: 10.1016/j.csda.2012.03.016
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- Richard T. Ampofo & Eric N. Aidoo & Bernard O. Ntiamoah & Ophelia Frimpong & Daniel Sasu, 2023. "An empirical investigation of COVID-19 effects on herding behaviour in USA and UK stock markets using a quantile regression approach," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(2), pages 517-540, June.
- Marius Lux & Wolfgang Karl Härdle & Stefan Lessmann, 2020.
"Data driven value-at-risk forecasting using a SVR-GARCH-KDE hybrid,"
Computational Statistics, Springer, vol. 35(3), pages 947-981, September.
- Lux, Marius & Härdle, Wolfgang Karl & Lessmann, Stefan, 2018. "Data Driven Value-at-Risk Forecasting using a SVR-GARCH-KDE Hybrid," IRTG 1792 Discussion Papers 2018-001, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Kawakami, Tabito, 2023. "Quantile prediction for Bitcoin returns using financial assets’ realized measures," Finance Research Letters, Elsevier, vol. 55(PA).
- Jungsik Noh & Sangyeol Lee, 2016. "Quantile Regression for Location-Scale Time Series Models with Conditional Heteroscedasticity," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 43(3), pages 700-720, September.
- Jimmy Cheung & Smruthi Rangarajan & Amelia Maddocks & Xizhe Chen & Rohitash Chandra, 2024. "Quantile deep learning models for multi-step ahead time series prediction," Papers 2411.15674, arXiv.org.
- Mitrodima, Gelly & Oberoi, Jaideep, 2024. "CAViaR models for Value-at-Risk and Expected Shortfall with long range dependency features," LSE Research Online Documents on Economics 120880, London School of Economics and Political Science, LSE Library.
- Lesedi Mabitsela & Eben Maré & Rodwell Kufakunesu, 2015. "Quantification of VaR: A Note on VaR Valuation in the South African Equity Market," JRFM, MDPI, vol. 8(1), pages 1-24, February.
- Wang, Shaochen & Tian, Wende & Li, Chuankun & Cui, Zhe & Liu, Bin, 2023. "Mechanism-based deep learning for tray efficiency soft-sensing in distillation process," Reliability Engineering and System Safety, Elsevier, vol. 231(C).
- Marco Bee & Luca Trapin, 2018. "Estimating and Forecasting Conditional Risk Measures with Extreme Value Theory: A Review," Risks, MDPI, vol. 6(2), pages 1-16, April.
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Keywords
Value at risk; Nonparametric quantile regression; Risk management; Extreme value statistical applications; Monotonization;All these keywords.
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