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Wang, Weining - 2012

Persistent link: https://www.econbiz.de/10009671537

Statistics and finance : an introduction

Ruppert, David - 2004

regression using splines, are introduced as needed. The classical methods of finance such as portfolio theory, CAPM, and the … and more advanced topics in statistics, such as regression, ARMA and GARCH models, the bootstrap, and nonparametric …:Introduction * Probability and Statistical Models * Returns * Time Series Models * Portfolio Theory * Regression * The Capital Asset Pricing …

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Nonparametric inference for extremal conditional quantiles

Kurisu, Daisuke; Otsu, Taisuke - 2021

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A nonparametric dynamic network via multivariate quantile autoregressions

Cai, Zongwu; Liu, Xiyuan - 2022

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Quantile graphical models : prediction and conditional independence with applications to systemic risk

Belloni, Alexandre; Chen, Mingli; Chernozhukov, Victor - 2017 - This version December 4, 2017

The understanding of co-movements, dependence, and influence between variables of interest is key in many applications. Broadly speaking such understanding can lead to better predictions and decision making in many settings. We propose Quantile Graphical Models (QGMs) to characterize prediction...

Persistent link: https://www.econbiz.de/10011775380

Conditional Value-at-Risk : semiparametric estimation and inference

Wang, Chuan-Sheng; Zhao, Zhibiao - In: Journal of econometrics 195 (2016) 1, pp. 86-103

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Forecasting value at risk and expected shortfall using a semiparametric approach based on the asymmetric laplace distribution

Taylor, James W. - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 1, pp. 121-133

Persistent link: https://www.econbiz.de/10012176554

Chapter 17. Quantile Prediction

Komunjer, Ivana - 2013

This chapter is concerned with the problem of quantile prediction (or forecasting). There are numerous applications in economics and finance where quantiles are of interest. We primarily focus on methods that are relevant for dynamic time series data. The chapter is organized around two key...

Persistent link: https://www.econbiz.de/10014025231

Nonparametric expected shortfall forecasting incorporating weighted quantiles

Storti, Giuseppe; Wang, Chao - In: International journal of forecasting 38 (2022) 1, pp. 224-239

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Fixed-k inference for conditional extremal quantiles

Sasaki, Yuya; Wang, Yulong - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 829-837

Persistent link: https://www.econbiz.de/10013534559