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Quantile Markov decision processes

Li, Xiaocheng; Zhong, Huaiyang; Brandeau, Margaret L. - In: Operations research 70 (2022) 3, pp. 1428-1447

Persistent link: https://www.econbiz.de/10013366124

Operational risk of option hedging

Mitra, Sovan - In: Economic modelling 33 (2013), pp. 194-203

Persistent link: https://www.econbiz.de/10010191991

Inf-convolution and optimal allocations for mixed-VaRs

Xia, Zichao; Zou, Zhenfeng; Hu, Taizhong - In: Insurance / Mathematics & economics 108 (2023), pp. 156-164

Persistent link: https://www.econbiz.de/10013534516

Efficient estimation of conditional risk measures in a semiparametric GARCH model

Yan, Yang; Shang, Dajing; Linton, Oliver - 2012

when estimating error quantiles. In order to prevent this efficiency loss in quantile estimation, we propose a quantile … estimator based on inverting an empirical likelihood weighted distribution estimator. It is found that the new quantile … estimator is uniformly more efficient than the simple empirical quantile and a quantile estimator based on normalized residuals …

Persistent link: https://www.econbiz.de/10009620388

Alternative statistical distributions for estimating value-at-risk : theory and evidence

Lee, Cheng F.; Su, Jung-Bin - In: Review of quantitative finance and accounting 39 (2012) 3, pp. 309-331

Persistent link: https://www.econbiz.de/10009673712

Rice, irrigation and downside risk : a quantile analysis of risk exposure and mitigation on Korean farms

Kim, Kwan-soo; Chavas, Jean-Paul; Barham, Bradford L.; … - In: European review of agricultural economics : ERAE 41 (2014) 5, pp. 775-815

Persistent link: https://www.econbiz.de/10010474274

Aversion to risk and downside risk in the large and in the small under non-expected utility : a quantile approach

Chavas, Jean-Paul; Kim, Kwan-soo - In: Theoretical economics letters 5 (2015) 6, pp. 784-804

Persistent link: https://www.econbiz.de/10011439614

Estimating and forecasting conditional risk measures with extreme value theory : a review

Bee, Marco; Trapin, Luca - In: Risks : open access journal 6 (2018) 2, pp. 1-16

One of the key components of financial risk management is risk measurement. This typically requires modeling, estimating and forecasting tail-related quantities of the asset returns’ conditional distribution. Recent advances in the financial econometrics literature have developed several...

Persistent link: https://www.econbiz.de/10011866456

Interquantile expectation regression

Barendse, Sander - 2017

interval between two quantiles, or in an interval that covers the range of the distribution to the left or right of a quantile …

Persistent link: https://www.econbiz.de/10011622915

Frontiers in VaR forecasting and backtesting

Nieto, Maria Rosa; Ruiz, Esther - In: International journal of forecasting 32 (2016) 2, pp. 474-501

Persistent link: https://www.econbiz.de/10011597163