کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
415798 681240 2012 16 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Predicting extreme value at risk: Nonparametric quantile regression with refinements from extreme value theory
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر نظریه محاسباتی و ریاضیات
پیش نمایش صفحه اول مقاله
Predicting extreme value at risk: Nonparametric quantile regression with refinements from extreme value theory
چکیده انگلیسی

A framework is introduced allowing us to apply nonparametric quantile regression to Value at Risk (VaR) prediction at any probability level of interest. A monotonized double kernel local linear estimator is used to estimate moderate (1%1%) conditional quantiles of index return distributions. For extreme (0.1%0.1%) quantiles, nonparametric quantile regression is combined with extreme value theory. The abilities of the proposed estimators to capture market risk are investigated in a VaR prediction study with empirical and simulated data. Possibly due to its flexibility, the out-of-sample forecasting performance of the new model turns out to be superior to competing models.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computational Statistics & Data Analysis - Volume 56, Issue 12, December 2012, Pages 4081–4096
نویسندگان
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