A novel Bahadur representation for heteroskedastic high quantile regression of tail-dependent time series enables a generative homogeneity test for high quantiles.
Journal of Econometrics , volume =
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Historical Simulation methods for Value-at-Risk can be reproduced inside a single parametric model of asset returns, showing they rely on more assumptions than typically stated.
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A Generative High Quantile Homogeneity Test Using Bahadur Representation for Heteroskedastic High Quantile Regression of Tail Dependent Time Series
A novel Bahadur representation for heteroskedastic high quantile regression of tail-dependent time series enables a generative homogeneity test for high quantiles.
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On the modeling assumptions of Historical Simulation for Value-at-Risk
Historical Simulation methods for Value-at-Risk can be reproduced inside a single parametric model of asset returns, showing they rely on more assumptions than typically stated.