Open AccessLocal Likelihood Density Estimation and Value‐at‐Risk
Author(s) -
Christian Gouriéroux,
Joann Jasiak
Publication year - 2010
Publication title -
journal of probability and statistics
Language(s) - English
Resource type - Journals
eISSN - 1687-9538
pISSN - 1687-952X
DOI - 10.1155/2010/754851
Subject(s) - value at risk , univariate , econometrics , conditional variance , multivariate statistics , mathematics , portfolio , nonparametric statistics , computation , statistics , estimation , extreme value theory , value (mathematics) , series (stratigraphy) , stock (firearms) , density estimation , parametric statistics , covariance , autoregressive conditional heteroskedasticity , economics , financial economics , risk management , geography , algorithm , finance , volatility (finance) , paleontology , management , archaeology , estimator , biology
Local Likelihood Density Estimation,and Value at Risk.In this paper we fit locally a parametric model to observations lying in a neighborhoodof a predetermined value c. This approach provides an instrument of tailanalysis, called the local parameter function, which represents the dependence of theestimated parameters on c. As well, a new local likelihood density estimator is proposed.The method is applicable to risk analysis, and especially to the computationof the conditional VaR. An...
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