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http://hdl.handle.net/2445/193707
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DC Field | Value | Language |
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dc.contributor.author | Vidal-Llana, Xenxo | - |
dc.contributor.author | Guillén, Montserrat | - |
dc.date.accessioned | 2023-02-16T15:10:29Z | - |
dc.date.available | 2023-02-16T15:10:29Z | - |
dc.date.issued | 2022-11-17 | - |
dc.identifier.issn | 1062-9408 | - |
dc.identifier.uri | http://hdl.handle.net/2445/193707 | - |
dc.description.abstract | Evaluating value at risk (VaR) for a firm's returns during periods of financial turmoil is a challenging task because of the high volatility in the market. We propose estimating conditional VaR and expected shortfall (ES) for a given firm's returns using quantile regression with cross-sectional (CSQR) data about other firms operating in the same market. An evaluation using US market data between 2000 and 2020 shows that our approach has certain advantages over a CAViaR model. Identification of low-risk firms and a reduction in computing times are additional advantages of the new method described. | - |
dc.format.extent | 9 p. | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | eng | - |
dc.publisher | Elsevier | - |
dc.relation.isformatof | Reproducció del document publicat a: https://doi.org/10.1016/j.najef.2022.101835 | - |
dc.relation.ispartof | North American Journal of Economics and Finance, 2022, vol. 63, p. 101835 | - |
dc.relation.uri | https://doi.org/10.1016/j.najef.2022.101835 | - |
dc.rights | cc-by (c) Vidal-Llana et al., 2022 | - |
dc.rights.uri | https://creativecommons.org/licenses/by/4.0/ | - |
dc.source | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) | - |
dc.subject.classification | Avaluació del risc | - |
dc.subject.classification | Valor (Economia) | - |
dc.subject.classification | Anàlisi de regressió | cat |
dc.subject.other | Risk assessment | - |
dc.subject.other | Value (Economics) | - |
dc.subject.other | Regression analysis | eng |
dc.title | Cross-sectional quantile regression for estimating conditional VaR of returns during periods of high volatility | - |
dc.type | info:eu-repo/semantics/article | - |
dc.type | info:eu-repo/semantics/publishedVersion | - |
dc.identifier.idgrec | 729805 | - |
dc.date.updated | 2023-02-16T15:10:29Z | - |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | - |
Appears in Collections: | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) |
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File | Description | Size | Format | |
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729805.pdf | 1.54 MB | Adobe PDF | View/Open |
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