Measuring financial risk with generalized asymmetric least squares regression

doi:10.1016/j.asoc.2011.02.018

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	Measuring financial risk with generalized asymmetric least squares regression
	Wang, Yongqiao 1; Wang, Shouyang2 ; Lai, K. K.3
	2011-12-01
发表期刊	APPLIED SOFT COMPUTING
ISSN	1568-4946
卷号	11 期号:8 页码:5793-5800
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.
关键词	Risk measurement Value-at-risk Expected shortfall Kernel trick Asymmetric least squares regression
DOI	10.1016/j.asoc.2011.02.018
语种	英语
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
WOS类目	Computer Science, Artificial Intelligence ; Computer Science, Interdisciplinary Applications
WOS记录号	WOS:000296539700125
出版者	ELSEVIER SCIENCE BV
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/12225
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.