Value at risk estimation by quantile regression and kernel estimator
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- Ding Du & Xiaobing Zhao, 2017. "Financial investor sentiment and the boom/bust in oil prices during 2003–2008," Review of Quantitative Finance and Accounting, Springer, vol. 48(2), pages 331-361, February.
- Shlomo Yitzhaki & Peter Lambert, 2014. "Is higher variance necessarily bad for investment?," Review of Quantitative Finance and Accounting, Springer, vol. 43(4), pages 855-860, November.
More about this item
KeywordsValue at risk; Quantile regression; Kernel estimator; C10; C53; G10; G17;
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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