Data-analytic approaches to the estimation of Value-at-Risk

@article{Fan2003DataanalyticAT,
  title={Data-analytic approaches to the estimation of Value-at-Risk},
  author={Jianqing Fan and Juan Gu},
  journal={2003 IEEE International Conference on Computational Intelligence for Financial Engineering, 2003. Proceedings.},
  year={2003},
  pages={271-277}
}
Value-at-risk measures the worst loss to be expected of a portfolio over a given time horizon at a given confidence level. Calculation of VaR frequently involves estimating the volatility of return processes and quantiles of standardized returns. In this paper, several semiparametric techniques are introduced to estimate the volatilities. In addition, both parametric and nonparametric techniques are proposed to estimate the quantiles of standardized return processes. The newly proposed… CONTINUE READING

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