Journal article
Using Exponentially Weighted Quantile Regression to Estimate Value at Risk and Expected Shortfall
- Abstract:
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We propose exponentially weighted quantile regression (EWQR) for estimating time-varying quantiles. The EWQR cost function can be used as the basis for estimating the time-varying expected shortfall associated with the EWQR quantile forecast. We express EWQR in a kernel estimation framework, and then modify it by adapting a previously proposed double kernel estimator in order to provide greater accuracy for tail quantiles that are changing relatively quickly over time. We introduce double ker...
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- Publication date:
- 2008-01-01
Item Description
- UUID:
-
uuid:38955808-49c6-49e4-ba79-8b155b45112c
- Local pid:
- oai:eureka.sbs.ox.ac.uk:1711
- Deposit date:
- 2012-02-06
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- Copyright date:
- 2008
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