THE DATA-BASED CHOICE OF BANDWIDTH FOR KERNEL QUANTILE ESTIMATOR OF VaR

被引：0
|
作者：
Yang, Xin [1 ]
机构：
[1] Guangxi Univ Finance & Econ, Sch Informat & Stat, Nanning 530003, Peoples R China
来源：
ADVANCES AND APPLICATIONS IN STATISTICS | 2012年 / 31卷 / 01期
基金：
美国国家科学基金会;
关键词：
VaR; kernel quantile estimator; choice of bandwidth;
D O I：
暂无
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Value-at-Risk is an important risk measure, has been wildly applied in market practice and financial risk measurement. We use the smooth kernel estimator for the quantile proposed by Parzen [13] as a VaR estimator and propose a data- based choice method of optimal bandwidth via normal reference distribution, which is easy to compute. The simulations show that the choice method of bandwidth is effective, and the smooth kernel estimator has better performance than the sample quantile estimator.
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页码：43 / 54
页数：12
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