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ArticleConditional value-at-risk: Aspects of modeling and estimation

Victor Chernozhukov2001

Article2001

Conditional value-at-risk: Aspects of modeling and estimation

Victor Chernozhukov · Len Umantsev

170 citations·0/0 files stored·Empirical Economics

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Risk and Portfolio Optimization

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References

1997The Econometrics of Financial Markets 1987Extreme Values, Regular Variation and Point Processes 1998Evaluating Interval Forecasts 1998Evaluating Density Forecasts with Applications to Financial Risk Management 2000Nonparametric Risk Management and Implied Risk Aversion 1996Conditional Quantile Estimation and Inference for Arch Models

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2008CoVaR 2008Nonparametric estimation of conditional VaR and expected shortfall 2013Measuring and testing for the systemically important financial institutions 2010A hybrid bankruptcy prediction model with dynamic loadings on accounting-ratio-based and market-based information: A binary quantile regression approach 2015Analysis and Forecasting of Electricity Price Risks with Quantile Factor Models 2021Re-examining Bitcoin Volatility: A CAViaR-based Approach 2008Quantile regression analysis of hedge fund strategies 2005Bagging binary and quantile predictors for time series

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2002Conditional value-at-risk: Aspects of modeling and estimationchapter · 5 shared references 2001Conditional Value-at-Risk: Aspects of Modeling and Estimationpreprint · 5 shared references 2006Chapter 15 Volatility and Correlation Forecastingchapter · 3 shared references 2007The quantilogram: With an application to evaluating directional predictabilityarticle · 3 shared references 2005Volatility Forecastingreport · 3 shared references 2000Density Forecasting: A Surveyarticle · 3 shared references

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Year2001

Typearticle

Published2001-03-22

VenueEmpirical Economics

ISSN-L0377-7332

Languageen

Citations170

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1007/s001810000062

openalex_workW4246717377

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