Post by Sapphire Capital on Aug 19, 2008 2:01:49 GMT 4
Kernel Conditional Quantile Estimation for Stationary Processes with Application to Conditional Value-at-Risk
Wei Biao Wu
Keming Yu
Gautam Mitra
Brunel University - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications
Journal of Financial Econometrics, Vol. 6, Issue 2, pp. 253-270, 2008
Abstract:
The paper considers kernel estimation of conditional quantiles for both short-range and long-range-dependent processes. Under mild regularity conditions, we obtain Bahadur representations and central limit theorems for kernel quantile estimates of those processes. Our theory is applicable to many price processes of assets in finance. In particular, we present an asymptotic theory for kernel estimates of the value-at-risk (VaR) of the market value of an asset conditional on the historical information or a state process. The results are assessed based on a small simulation and are applied to AT&T monthly returns.
papers.ssrn.com/sol3/papers.cfm?abstract_id=1157740
Wei Biao Wu
Keming Yu
Gautam Mitra
Brunel University - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications
Journal of Financial Econometrics, Vol. 6, Issue 2, pp. 253-270, 2008
Abstract:
The paper considers kernel estimation of conditional quantiles for both short-range and long-range-dependent processes. Under mild regularity conditions, we obtain Bahadur representations and central limit theorems for kernel quantile estimates of those processes. Our theory is applicable to many price processes of assets in finance. In particular, we present an asymptotic theory for kernel estimates of the value-at-risk (VaR) of the market value of an asset conditional on the historical information or a state process. The results are assessed based on a small simulation and are applied to AT&T monthly returns.
papers.ssrn.com/sol3/papers.cfm?abstract_id=1157740