Predicting extreme VaR: Nonparametric quantile regression with refinements from extreme value theory
Year of publication: |
2010
|
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Authors: | Schaumburg, Julia |
Publisher: |
Berlin : Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |
Subject: | Value at Risk | Prognoseverfahren | Regression | Nichtparametrisches Verfahren | Extremwertanalyse | Theorie | nonparametric quantile regression | risk management | extreme value theory | monotonization | CAViaR |
Series: | SFB 649 Discussion Paper ; 2010,009 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 623837838 [GVK] hdl:10419/39337 [Handle] |
Classification: | C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications |
Source: |
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Predicting extreme VaR: Nonparametric quantile regression with refinements from extreme value theory
Schaumburg, Julia, (2010)
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