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

Lee, Cheng-Few; Su, Jung-Bin - In: Review of Quantitative Finance and Accounting 39 (2012) 3, pp. 309-331

A number of applications presume that asset returns are normally distributed, even though they are widely known to be skewed leptokurtic and fat-tailed and excess kurtosis. This leads to the underestimation or overestimation of the true value-at-risk (VaR). This study utilizes a composite...

Persistent link: https://www.econbiz.de/10010867674

Confidence intervals for quantiles in finite populations with randomized nomination sampling

Nourmohammadi, Mohammad; Jafari Jozani, Mohammad; … - In: Computational Statistics & Data Analysis 73 (2014) C, pp. 112-128

Given a finite population consisting of N elements, it is desired to obtain confidence intervals for (t/N)th quantile x …

Persistent link: https://www.econbiz.de/10010871392

ON TESTABILITY OF COMPLEMENTARITY IN MODELS WITH MULTIPLE EQUILIBRIA

Otsu, Taisuke; Rai, Yoshiyasu - Suntory and Toyota International Centres for Economics … - 2013

This paper revisits testability of complementarity in economic models with multiple equilibria studied by Echenique and Komunjer (2009). We find that Echenique and Komunjer's (2009) testable implications on extreme quantiles can be implied by a weaker version of their tail condition without...

Persistent link: https://www.econbiz.de/10010658811

A nonparametric approach to calculating value-at-risk

Alemany, Ramon; Bolancé, Catalina; Guillén, Montserrat - In: Insurance: Mathematics and Economics 52 (2013) 2, pp. 255-262

A method to estimate an extreme quantile that requires no distributional assumptions is presented. The approach is … smoothing parameter. The bandwidth can accommodate to the given quantile level. The procedure is useful for large data sets and … improves quantile estimation compared to other methods in heavy tailed distributions. Implementation is straightforward and R …

Persistent link: https://www.econbiz.de/10010662449

On testability of complementarity in models with multiple equilibria

Rai, Yoshiyasu; Otsu, Taisuke - In: Economics Letters 120 (2013) 1, pp. 79-82

This paper revisits testability of complementarity in economic models with multiple equilibria studied by Echenique and Komunjer (2009). We find that Echenique and Komunjer’s (2009) testable implications on extreme quantiles can be implied by a weaker version of their tail condition without...

Persistent link: https://www.econbiz.de/10010665689

Improved confidence intervals for quantiles

Maesono, Yoshihiko; Penev, Spiridon - In: Annals of the Institute of Statistical Mathematics 65 (2013) 1, pp. 167-189

We derive the Edgeworth expansion for the studentized version of the kernel quantile estimator. Inverting the expansion … allows us to get very accurate confidence intervals for the pth quantile under general conditions. The results are applicable …

Persistent link: https://www.econbiz.de/10010848652

An approximation method to derive confidence intervals for quantiles with some applications

Rueda, M.; Arcos, A.; Sánchez-Borrego, I.; Muñoz, J. - In: Quality & Quantity: International Journal of Methodology 46 (2012) 4, pp. 1197-1208

Persistent link: https://www.econbiz.de/10010993006

A characterization of the multivariate excess wealth ordering

Fernández-Ponce, J.M.; Pellerey, F.; … - In: Insurance: Mathematics and Economics 49 (2011) 3, pp. 410-417

relating the multivariate excess wealth order with stochastic dependence are described. …

Persistent link: https://www.econbiz.de/10011046570

Generalized moment-independent importance measures based on Minkowski distance

Zhai, Qingqing; Yang, Jun; Xie, Min; Zhao, Yu - In: European Journal of Operational Research 239 (2014) 2, pp. 449-455

importance measure and quantile based MD importance measure. Some properties of the proposed MD importance measures are …

Persistent link: https://www.econbiz.de/10011097713

Structural Analysis of Nonlinear Pricing

Luo, Yao; Perrigne, Isabelle; Vuong, Quang - University of Toronto, Department of Economics - 2014

-step quantile-based nonparametric method to estimate the consumersâ€™ inverse demand and their type distribution. We show that our …

Persistent link: https://www.econbiz.de/10011132477