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Measuring financial risk with generalized asymmetric least squares regression

文献类型：期刊论文

作者Wang, Yongqiao1; Wang, Shouyang2; Lai, K. K.3
刊名APPLIED SOFT COMPUTING
出版日期2011-12-01
卷号11期号:8页码:5793-5800
关键词Risk measurement Value-at-risk Expected shortfall Kernel trick Asymmetric least squares regression
ISSN号1568-4946
DOI10.1016/j.asoc.2011.02.018
英文摘要This paper proposes a generalized asymmetric least squares regression method to estimate Value-at-risk and expected shortfall. By solving an asymmetric least squares regression in a Reproducing Kernel Hilbert Space, the method achieves nonlinear prediction power, while making no assumption on the underlying probability distributions. Two toy datasets are used to demonstrate its nonlinear prediction power. The empirical results on the S&P 500 stock index obviously show that the method is superior to other four benchmark methods. (C) 2011 Elsevier B.V. All rights reserved.
资助项目Social Sciences Foundation of Chinese Ministry of Education[10YJC790265] ; Zhejiang Natural Science Foundation[Y7080205] ; Zhejiang Province Universities Social Sciences Key Base (Finance)
WOS研究方向Computer Science
语种英语
WOS记录号WOS:000296539700125
出版者ELSEVIER SCIENCE BV
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/12224]  
专题系统科学研究所
通讯作者Wang, Yongqiao
作者单位1.Zhejiang Gongshang Univ, Coll Finance, Hangzhou 310018, Zhejiang, Peoples R China
2.Chinese Acad Sci, Inst Syst Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China
3.City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China
推荐引用方式
GB/T 7714		 Wang, Yongqiao,Wang, Shouyang,Lai, K. K.. Measuring financial risk with generalized asymmetric least squares regression[J]. APPLIED SOFT COMPUTING,2011,11(8):5793-5800.
APA Wang, Yongqiao,Wang, Shouyang,&Lai, K. K..(2011).Measuring financial risk with generalized asymmetric least squares regression.APPLIED SOFT COMPUTING,11(8),5793-5800.
MLA Wang, Yongqiao,et al."Measuring financial risk with generalized asymmetric least squares regression".APPLIED SOFT COMPUTING 11.8(2011):5793-5800.

入库方式： OAI收割

来源：数学与系统科学研究院

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