Value at risk estimation by quantile regression and kernel estimator

Volume: 41, Issue: 2, Pages: 225 - 251
Published: Aug 23, 2012
Abstract
Risk management has attracted a great deal of attention, and Value at Risk (VaR) has emerged as a particularly popular and important measure for detecting the market risk of financial assets. The quantile regression method can generate VaR estimates without distributional assumptions; however, empirical evidence has shown the approach to be ineffective at evaluating the real level of downside risk in out-of-sample examination. This paper...
Paper Details
Title
Value at risk estimation by quantile regression and kernel estimator
Published Date
Aug 23, 2012
Volume
41
Issue
2
Pages
225 - 251
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