Zobrazeno 1 - 10
of 19
pro vyhledávání: '"Eliana Christou"'
Autor:
Michael Grabchak, Eliana Christou
Publikováno v:
Financial Innovation, Vol 7, Iss 1, Pp 1-16 (2021)
Abstract In this paper we consider the problem of estimating expected shortfall (ES) for discrete time stochastic volatility (SV) models. Specifically, we develop Monte Carlo methods to evaluate ES for a variety of commonly used SV models. This inclu
Externí odkaz:
https://doaj.org/article/749760341edc422da6292602cbdefb3f
Autor:
Eliana Christou, Michael Grabchak
Publikováno v:
Computational Economics. 60:725-753
Expected Shortfall ( $$\mathrm {ES}$$ ) is one of the most heavily used measures of financial risk. It is defined as a scaled integral of the quantile of the profit-and-loss distribution up to a certainly confidence level. As such, quantile regressio
Autor:
Eliana Christou
Publikováno v:
Journal of Statistical Computation and Simulation. 92:300-317
There is a great amount of work that stands to benefit from quantile regression (QR), especially when the extreme parts of data are of interest. Although QR has been well developed, it has recently...
Autor:
Eliana Christou, Michael Grabchak
Publikováno v:
Econometrics and Statistics.
In practice, data often display heteroscedasticity, making quantile regression (QR) a more appropriate methodology. Modeling the data, while maintaining a flexible nonparametric fitting, requires smoothing over a high-dimensional space which might no
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5157b0c6ec58dc267c8a780257a5a843
https://orca.cardiff.ac.uk/id/eprint/139345/1/Final_submission.pdf
https://orca.cardiff.ac.uk/id/eprint/139345/1/Final_submission.pdf
Autor:
Eliana Christou, Michael Grabchak
Publikováno v:
Journal of Applied Statistics. 46:2418-2433
Value-at-Risk (VaR) is one of the best known and most heavily used measures of financial risk. In this paper, we introduce a non-iterative semiparametric model for VaR estimation called the single ...
Autor:
Eliana Christou, Michael G. Akritas
Publikováno v:
Statistical Methods & Applications. 28:655-678
Quantile regression (QR) has become a popular method of data analysis, especially when the error term is heteroscedastic. It is particularly relevant for the analysis of censored survival data as an alternative to proportional hazards and the acceler
Autor:
Eliana Christou, Michael Grabchak
Publikováno v:
Financial Innovation, Vol 7, Iss 1, Pp 1-16 (2021)
In this paper we consider the problem of estimating expected shortfall (ES) for discrete time stochastic volatility (SV) models. Specifically, we develop Monte Carlo methods to evaluate ES for a variety of commonly used SV models. This includes both
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4247c2c50ec7f96766e19bed49d0ffdc
https://hdl.handle.net/10419/237274
https://hdl.handle.net/10419/237274
Tenure: Perceptions of Requirements and Impediments for Civil Engineering & Construction Disciplines
Autor:
Tymvios, N., Eliana Christou
Publikováno v:
Scopus-Elsevier
Publikováno v:
2020 ASEE Virtual Annual Conference Content Access Proceedings.