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Conditional Value-at-Risk: Semiparametric estimation and inference · Study

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ArticleConditional Value-at-Risk: Semiparametric estimation and inference

Chuan-Sheng Wang2016

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Articlebronze2016

Conditional Value-at-Risk: Semiparametric estimation and inference

Chuan-Sheng Wang · Zhibiao Zhao

28 citations·0/0 files stored·Journal of Econometrics

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Financial Risk and Volatility Modeling Statistical Methods and Inference Risk and Portfolio Optimization

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References

1986Generalized autoregressive conditional heteroskedasticity 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1994Threshold heteroskedastic models 2004CAViaR 1986Generalized autoregressive conditional heteroscedasticity 1997An Overview of Value at Risk 2000Nonparametric risk management and implied risk aversion

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2020A data-driven framework for consistent financial valuation and risk measurement

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Year2016

Typearticle

Published2016-07-26

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations28

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jeconom.2016.07.002

openalex_workW2485542002

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