Using Exponentially Weighted Quantile Regression to Estimate Value at Risk and Expected Shortfall

@article{Taylor2008UsingEW,
  title={Using Exponentially Weighted Quantile Regression to Estimate Value at Risk and Expected Shortfall},
  author={J. W. Taylor},
  journal={Journal of Financial Econometrics},
  year={2008},
  volume={6},
  pages={382-406}
}
  • J. W. Taylor
  • Published 2008
  • Economics, Mathematics
  • Journal of Financial Econometrics
We propose exponentially weighted quantile regression (EWQR) for estimating time-varying quantiles. The EWQR cost function can be used as the basis for estimating the time-varying expected shortfall associated with the EWQR quantile forecast. We express EWQR in a kernel estimation framework, and then modify it by adapting a previously proposed double kernel estimator in order to provide greater accuracy for tail quantiles that are changing relatively quickly over time. We introduce double… Expand
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