Title: Quantile Regression and the Research of VaR in Shanghai Stock Market
Abstract:By studying the estimation method and asymptotic behaviors of extremal quantiles,we apply its behaviors to the research of VaR.The conditional quantile regression model of return rates of Shanghai sto...By studying the estimation method and asymptotic behaviors of extremal quantiles,we apply its behaviors to the research of VaR.The conditional quantile regression model of return rates of Shanghai stock market is established,which describes the trend of rates under extremal quantiles.Conditional VaR in very extreme quantiles is predicated by using extrapolation methods under the proper tail model.Comparison with the prediction of the ordinary quantile regression model is also given.The results show that the tendencies of the two predictions are similar and the value estimated by the extrapolation methods is relatively small.Read More
Publication Year: 2008
Publication Date: 2008-01-01
Language: en
Type: article
Access and Citation
AI Researcher Chatbot
Get quick answers to your questions about the article from our AI researcher chatbot