ESTIMATING VALUE-AT-RISK AND AVERAGE VALUE-AT-RISK MEASURES USING COMPOSITE QUANTILE REGRESSION

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

AGHAMOHAMMADI ALI; SOJOUDI MAHDI

Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: JOURNAL OF STATISTICAL SCIENCES Year:2017 | Volume:10 | Issue:2 Page(s): 185-202

Download Full-Text

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Persian Verion

View:

1,214

Download:

Cites:

Information Journal Paper

Title

ESTIMATING VALUE-AT-RISK AND AVERAGE VALUE-AT-RISK MEASURES USING COMPOSITE QUANTILE REGRESSION

Author(s)

AGHAMOHAMMADI ALI | SOJOUDI MAHDI | Issue Writer Certificate

Keywords

VALUE-AT-RISKQ2

AVERAGE VALUE-AT-RISKQ2

COMPOSITE QUANTILE REGRESSIONQ2

STATISTICAL INFERENCEQ2

Abstract

VALUE-AT-RISK and Average VALUE-AT-RISK are tow important risk measures based on statistical methoeds that used to measure the market's risk with quantity structure.Recently, linear regression models such as least squares and quantile methods are introduced to estimate these risk measures. In this paper, these two risk measures are estimated by using omposite quantile regression. To evaluate the performance of the proposed model with the other models, a simulation study was conducted and at the end, applications to real data set from Iran's stock market are illustarted.

Cites

No record.

References

No record.

Cite

APA: Copy

AGHAMOHAMMADI, ALI, & SOJOUDI, MAHDI. (2017). ESTIMATING VALUE-AT-RISK AND AVERAGE VALUE-AT-RISK MEASURES USING COMPOSITE QUANTILE REGRESSION. JOURNAL OF STATISTICAL SCIENCES, 10(2 ), 185-202. SID. https://sid.ir/paper/124150/en

Vancouver: Copy

AGHAMOHAMMADI ALI, SOJOUDI MAHDI. ESTIMATING VALUE-AT-RISK AND AVERAGE VALUE-AT-RISK MEASURES USING COMPOSITE QUANTILE REGRESSION. JOURNAL OF STATISTICAL SCIENCES[Internet]. 2017;10(2 ):185-202. Available from: https://sid.ir/paper/124150/en

IEEE: Copy

ALI AGHAMOHAMMADI, and MAHDI SOJOUDI, “ESTIMATING VALUE-AT-RISK AND AVERAGE VALUE-AT-RISK MEASURES USING COMPOSITE QUANTILE REGRESSION,” JOURNAL OF STATISTICAL SCIENCES, vol. 10, no. 2 , pp. 185–202, 2017, [Online]. Available: https://sid.ir/paper/124150/en

Related Journal Papers