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Nonparametric Estimation of Range Value at Risk
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What this work says
Outgoing claims: the papers this work cites, builds on, or argues with.
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Statistical Tools for Finance and Insurance
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Aggregation-robustness and model uncertainty of regulatory risk measures
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Quantile-based risk sharing with heterogeneous beliefs
inferredcites →https://doi.org/10.1016/0378-3758(94)00102-2openalex-snapshot
Bandwidth selection for kernel distribution function estimation
inferredcites →https://doi.org/10.1016/j.jspi.2005.11.011openalex-snapshot
Estimating conditional tail expectation with actuarial applications in view
inferredcites →https://doi.org/10.1016/j.srfe.2013.06.001openalex-snapshot
A comprehensive review of Value at Risk methodologies
inferredcites →https://doi.org/10.1016/s0927-5398(00)00012-8openalex-snapshot
Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach
inferredcites →https://doi.org/10.1080/03610918.2015.1112908openalex-snapshot
Extreme quantile estimation based on financial time series
inferredcites →https://doi.org/10.1080/03610918.2016.1152370openalex-snapshot
Nonparametric estimation of 100(1 − p)% expected shortfall: p → 0 as sample size is increased
inferredcites →https://doi.org/10.1080/14697681003685597openalex-snapshot
Robustness and sensitivity analysis of risk measurement procedures
inferredcites →https://doi.org/10.1080/14697688.2013.816767openalex-snapshot
Estimation methods for expected shortfall
inferredcites →https://doi.org/10.1080/14697688.2018.1459806openalex-snapshot
How does the choice of Value-at-Risk estimator influence asset allocation decisions?
inferredcites →https://doi.org/10.1080/713665670openalex-snapshot
Empirical properties of asset returns: stylized facts and statistical issues
inferredcites →https://doi.org/10.1093/biomet/68.1.326openalex-snapshot
A Note on the Estimation of a Distribution Function and Quantiles by a Kernel Method
inferredcites →https://doi.org/10.1093/biomet/85.4.799openalex-snapshot
Bandwith selection for the smoothing of distribution functions
inferredcites →https://doi.org/10.1093/jjfinec/nbi012openalex-snapshot
Nonparametric Inference of Value-at-Risk for Dependent Financial Returns
inferredcites →https://doi.org/10.1093/jjfinec/nbm019openalex-snapshot
Nonparametric Estimation of Expected Shortfall
inferredcites →https://doi.org/10.1093/jjfinec/nbt020openalex-snapshot
Expected Shortfall Estimation and Gaussian Inference for Infinite Variance Time Series
inferredcites →https://doi.org/10.1093/rfs/hhn031openalex-snapshot
A GARCH Option Pricing Model with Filtered Historical Simulation
inferredcites →https://doi.org/10.1143/jjap.39.1442openalex-snapshot
Chaotic Monte Carlo Computation: A Dynamical Effect of Random-Number Generations
inferredcites →https://doi.org/10.1214/20-aos1961openalex-snapshot
Robust multivariate mean estimation: The optimality of trimmed mean
inferredcites →https://doi.org/10.21314/jor.2013.269openalex-snapshot
Modified expected shortfall: a new robust coherent risk measure
inferredcites →https://doi.org/10.21314/jor.2015.318openalex-snapshot
What is the best risk measure in practice? A comparison of standard measures
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Interquantile Expectation Regression
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Extreme quantile estimation for dependent data, with applications to finance
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Multidimensional Discrete Chaotic Maps
What points at this work
Incoming claims: where this work appears in other papers’ reference lists and arguments.
inferred← citeshttps://doi.org/10.1002/for.3043openalex-snapshot
A comparison of Range Value at Risk (RVaR) forecasting models
inferred← citeshttps://doi.org/10.1007/s00181-025-02784-3openalex-snapshot
Novel modeling for assessment of extreme values risk in cryptocurrencies portfolio
inferred← citeshttps://doi.org/10.1007/s11579-026-00417-6openalex-snapshot
Range value at risk under model uncertainty
inferred← citeshttps://doi.org/10.1177/29767032251377083openalex-snapshot
Quantum Risk Analysis: Beyond (Conditional) Value-at-Risk
inferred← citeshttps://doi.org/10.21203/rs.3.rs-9287691/v1openalex-snapshot
An outlier-robust dynamic semiparametric model for jointly forecasting value-at-risk and expected shortfall
inferred← citeshttps://doi.org/10.3390/computation11040080openalex-snapshot
Computational Issues in Insurance and Finance
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