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http://bura.brunel.ac.uk/handle/2438/21142| Title: | Single-index expectile models for estimating conditional value at risk and expected shortfall |
| Authors: | Jiang, R Hu, X Yu, K |
| Keywords: | single-index model;expectile regression;value at risk |
| Issue Date: | 4-Aug-2020 |
| Publisher: | Oxford University Press |
| Citation: | Jiang, R., Hu, X. and Yu, K. (2022) 'Single-Index Expectile Models for Estimating Conditional Value at Risk and Expected Shortfall', Journal of Financial Econometrics, 20 (2), pp, 345 - 366. doi: 10.1093/jjfinec/nbaa016. |
| Abstract: | Copyright © The Author(s) 2020. This article develops a single-index approach for modeling the expectile-based value at risk (EVaR). EVaR has an advantage over the conventional quantile-based VaR (QVaR) of being more sensitive to the magnitude of extreme losses. EVaR can also be used for calculating QVaR and expected shortfall (ES) by exploiting the one-to-one mapping from expectiles to quantiles and the relationship between VaR and ES. We develop an asymmetric least squares technique for estimating the unknown regression parameter and link function in a single-index model, and establish the asymptotic normality of the resultant estimators. Simulation studies and real data applications are conducted to illustrate the finite sample performance of the proposed methods. |
| URI: | https://bura.brunel.ac.uk/handle/2438/21142 |
| DOI: | https://doi.org/10.1093/jjfinec/nbaa016 |
| ISSN: | 1479-8409 |
| Other Identifiers: | ORCID iD: Keming Yu https://orcid.org/0000-0001-6341-8402 |
| Appears in Collections: | Dept of Mathematics Research Papers |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| FullText.pdf | Copyright © The Author(s) 2020. Published by Oxford University Press. All rights reserved. This article is published and distributed under the terms of the Oxford University Press, Standard Journals Publication Model (https://academic.oup.com/journals/pages/open_access/funder_policies/chorus/standard_publication_model). This is a pre-copyedited, author-produced version of an article accepted for publication in Journal of Financial Econometrics, following peer review. The version of record, Jiang, R., Hu, X. and Yu, K. (2022) 'Single-Index Expectile Models for Estimating Conditional Value at Risk and Expected Shortfall', Journal of Financial Econometrics, 20 (2), pp, 345 - 366, is available online at: https://doi.org/10.1093/jjfinec/nbaa016. | 124.15 kB | Adobe PDF | View/Open |
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