Constructing risk measurement models by quantile regression method

Proceedings - 3rd International Conference on Business Intelligence and Financial Engineering, BIFE 2010

Volumn , Issue , 2010, Pages 346-350

  Ou, Shide ^a,b   Yi, Danhui ^a  

^a RENMIN UNIVERSITY OF CHINA   (China)

^b YULIN NORMAL UNIVERSITY   (China)

Author keywords

IGARCH model; Kupiec test; Quantile regression; Value at risk (VaR)

Indexed keywords

EXPLANATORY VARIABLES; IGARCH MODEL; KUPIEC TEST; PRICE TRENDS; QUANTILE REGRESSION; RISK MEASUREMENT; VALUE AT RISK;

REGRESSION ANALYSIS; RISK PERCEPTION; VALUE ENGINEERING;

RISK ASSESSMENT;

EID: 78650162680     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/BIFE.2010.87     Document Type: Conference Paper

References (12)

1. R. Koenker and Jr. Gilbert Bassett, "Regression quantiles," Economitrical, vol.46(1), pp.33-50, Jan., 1978.
2. M. Buchinsky, "Recent advances in quantile regression models: a practical guideline for empirical research," The Journal of Human Resources, Vol. 33(1), pp. 88-126, Winter, 1998.
3. R. Koenker and K. F. Hallock, "Quantile regression," Journal of Economic Perspectives , vol. 15 (4), pp. 143-156, 2001.
4. R. F. Engle and S. Manganelli, "CAViaR: conditional autoregressive value at risk by regression quantiles," Journal of Business and Economic Statistics, vol. 22, pp. 367-381, 2004.
5. J. W. Taylor, "Generating volatility forecasts from value at risk estimates," Management Science, Vol. 51(5), pp. 712-725, May, 2005.
6. R. Koenker, Quantile Regression, 1st ed.. New York, USA: Cambridge University Press, 2005.
7. P. Kupiec, "Techniques for verifying the accuracy of risk measurement models," Journal of Derivatives, vol. 3, pp. 73-84, 1995.
8. K. Yu and Z. Lu, "Quantile regression : applications and current research Areas," The Statistician, vol.52(3), pp. 331-350, 2003.
9. B. Park, "On the quantile regression based tests for asymmetry in stock return volatility," Asian Economic Journal, vol.16(2), pp.175-191, 2002.
10. V. Chernozhukov and L. Umantsev, "Conditional value at risk : aspects of modelling and estimation," Empirical Economics, vol. 3, pp. 271-292, 2001.
11. M. Buchinsky, "The dynamics of changes in the female wage distribution in the USA: a quantile regression approach," Journal of Applied Economet rics, vol.13 (1), pp. 1-30, 1998.
12. J. W. Taylor, "Using exponentially weighted quantile regression to estimate value at risk and expected shortfall," Journal of Financial Econometrics, vol. 6(3), pp. 382-406, 2008.