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Journal of Business & Economic Statistics Volume 32, 2014 - Issue 4
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Original Articles

A Varying-Coefficient Expectile Model for Estimating Value at Risk

Shangyu XieRCAF and School of Banking and Finance, University of International Business and Economics, Beijing, China ([email protected])
,
Yong ZhouAcademy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, China;School of Statistics and Management, Shanghai University of Finance and Economics, Shanghai, China ([email protected])
&
Alan T. K. WanDepartment of Management Sciences, City University of Hong Kong, Hong Kong S. A. R., China ([email protected])
Pages 576-592 | Received 01 Nov 2012, Published online: 28 Oct 2014

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Xianwen Sun & Lixin Zhang. (2023) Jackknife model averaging for additive expectile prediction. Communications in Statistics - Theory and Methods 0:0, pages 1-33.
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Anthony C. Davison, Simone A. Padoan & Gilles Stupfler. (2023) Tail Risk Inference via Expectiles in Heavy-Tailed Time Series. Journal of Business & Economic Statistics 41:3, pages 876-889.
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Yingli Pan, Xiaoluo Zhao, Sha Wei & Zhan Liu. (2023) High-dimensional expectile regression incorporating graphical structure among predictors. Journal of Statistical Computation and Simulation 93:2, pages 231-248.
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Wen Xu, Yanxi Hou & Deyuan Li. (2022) Prediction of Extremal Expectile Based on Regression Models With Heteroscedastic Extremes. Journal of Business & Economic Statistics 40:2, pages 522-536.
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Q.F. Xu, X.H. Ding, C.X. Jiang, K.M. Yu & L. Shi. (2021) An elastic-net penalized expectile regression with applications. Journal of Applied Statistics 48:12, pages 2205-2230.
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Sheng Wu & Yi Zhang. (2019) A class of distortion measures generated from expectile and its estimation. Communications in Statistics - Theory and Methods 48:10, pages 2390-2408.
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Cuixia Jiang, Xiaoyi Ding, Qifa Xu, Xi Liu & Yezheng Liu. (2019) Portfolio selection based on predictive joint return distribution. Applied Economics 51:2, pages 196-206.
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Yi Yang, Teng Zhang & Hui Zou. (2018) Flexible Expectile Regression in Reproducing Kernel Hilbert Spaces. Technometrics 60:1, pages 26-35.
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Alan T. K. Wan, Shangyu Xie & Yong Zhou. (2017) A varying coefficient approach to estimating hedonic housing price functions and their quantiles. Journal of Applied Statistics 44:11, pages 1979-1999.
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Articles from other publishers (26)

Feipeng Zhang, Yixiong Xu & Caiyun Fan. (2023) Nonparametric inference of expectile-based value-at-risk for financial time series with application to risk assessment. International Review of Financial Analysis 90, pages 102852.
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Marcelo Brutti Righi & Fernanda Maria Müller. (2023) Range-based risk measures and their applications. ASTIN Bulletin, pages 1-22.
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Xiaoqian Liu, Zhenni Tan, Yuehua Wu & Yong Zhou. (2023) The Financial Risk Measurement EVaR Based on DTARCH Models. Entropy 25:8, pages 1204.
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Yundong Tu & Siwei Wang. (2023) Variable Screening and Model Averaging for Expectile Regressions. Oxford Bulletin of Economics and Statistics 85:3, pages 574-598.
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Rebeka Man, Kean Ming Tan, Zian Wang & Wen-Xin Zhou. (2023) Retire: Robust expectile regression in high dimensions. Journal of Econometrics, pages 105459.
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Dongyu Li, Lei Wang & Weihua Zhao. (2021) Estimation and inference for multikink expectile regression with longitudinal data. Statistics in Medicine 41:7, pages 1296-1313.
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Rong Jiang, Xueping Hu & Keming Yu. (2022) Single-Index Expectile Models for Estimating Conditional Value at Risk and Expected Shortfall. Journal of Financial Econometrics 20:2, pages 345-366.
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Rong Jiang, Yexun Peng & Yufei Deng. (2022) Variable selection and debiased estimation for single‐index expectile model. Australian & New Zealand Journal of Statistics 63:4, pages 658-673.
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Shanshan Song, Yuanyuan Lin & Yong Zhou. (2021) Linear expectile regression under massive data. Fundamental Research 1:5, pages 574-585.
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Yinhong Yao, Jianping Li & Xiaolei Sun. (2021) Measuring the risk of Chinese Fintech industry: evidence from the stock index. Finance Research Letters 39, pages 101564.
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Yundong Tu & Siwei Wang. (2020) Jackknife model averaging for expectile regressions in increasing dimension. Economics Letters 197, pages 109607.
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Tuo Chen, Zhihua Su, Yi Yang & Shanshan Ding. (2020) Efficient estimation in expectile regression using envelope models. Electronic Journal of Statistics 14:1.
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Yue-Jun Zhang & Shu-Jiao Ma. (2019) How to effectively estimate the time-varying risk spillover between crude oil and stock markets? Evidence from the expectile perspective. Energy Economics 84, pages 104562.
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Tae-Hwy Lee, Aman Ullah & He Wang. (2019) The Second-Order Asymptotic Properties of Asymmetric Least Squares Estimation. Sankhya B 81:S1, pages 201-233.
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Ding-shi Tian, Zong-wu Cai & Ying Fang. (2019) Econometric modeling of risk measures: A selective review of the recent literature. Applied Mathematics-A Journal of Chinese Universities 34:2, pages 205-228.
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Bogdan Grechuk & Michael Zabarankin. (2018) Regression analysis: likelihood, error and entropy. Mathematical Programming 174:1-2, pages 145-166.
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Zongwu Cai, Ying Fang & Dingshi Tian. (2018) Assessing Tail Risk Using Expectile Regressions with Partially Varying Coefficients. Journal of Management Science and Engineering 3:4, pages 183-213.
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Xiu Xu, Andrija Mihoci & Wolfgang Karl Härdle. (2018) lCARE - localizing conditional autoregressive expectiles. Journal of Empirical Finance 48, pages 198-220.
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Man Wang, Kun Chen, Qin Luo & Chao Cheng. (2018) Multi-Step Inflation Prediction with Functional Coefficient Autoregressive Model. Sustainability 10:6, pages 1691.
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Feipeng Zhang & Qunhua Li. (2017) A continuous threshold expectile model. Computational Statistics & Data Analysis 116, pages 49-66.
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Yuwen Gu & Hui Zou. (2016) High-dimensional generalizations of asymmetric least squares regression and their applications. The Annals of Statistics 44:6.
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Qifa Xu, Xi Liu, Cuixia Jiang & Keming Yu. (2016) Nonparametric conditional autoregressive expectile model via neural network with applications to estimating financial risk. Applied Stochastic Models in Business and Industry 32:6, pages 882-908.
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Feipeng Zhang, Yixiong Xu & Di Yuan. (2022) Testing for Granger-Causality in Expectiles with Application to Financial Contagion. SSRN Electronic Journal.
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Marcelo Righi & Fernanda Muller. (2022) Range Based Risk Measures and Their Applications. SSRN Electronic Journal.
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Xiu Xu, Andrija Mihoci & Wolfgang K. HHrdle. (2015) LCARE - Localizing Conditional Autoregressive Expectiles. SSRN Electronic Journal.
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Xiu Xu. (2015) ICARE - Localizing Conditional Autoregressive Expectiles. SSRN Electronic Journal.
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