Related papers: Nonparametric estimation of conditional value-at-r…

This paper presents a novel semiparametric method to study the effects of extreme events on binary outcomes and subsequently forecast future outcomes. Our approach, based on Bayes' theorem and regularly varying (RV) functions, facilitates a…

This paper investigates the properties of the Generalized Covariance (GCov) estimator under misspecification and constraints with application to processes with local explosive patterns, such as causal-noncausal and double autoregressive…

We propose novel estimators for categorical and continuous treatments by using an optimal covariate balancing strategy for inverse probability weighting. The resulting estimators are shown to be consistent and asymptotically normal for…

We develop a Quantile Bayesian Vector Autoregression (QBVAR) to forecast real oil prices across different quantiles of the conditional distribution. The model allows predictor effects to vary across quantiles, capturing asymmetries that…

Instrumental variables are widely used in econometrics and epidemiology for identifying and estimating causal effects when an exposure of interest is confounded by unmeasured factors. Despite this popularity, the assumptions invoked to…

This paper considers nonparametric estimation and inference in first-order autoregressive (AR(1)) models with deterministically time-varying parameters. A key feature of the proposed approach is to allow for time-varying stationarity in…

One of the main goal of extreme value analysis is to estimate the probability of rare events given a sample from an unknown distribution. The upper tail behavior of this distribution is described by the extreme value index. We present a new…

Given measurements from sensors and a set of standard forces, an optimization based approach to identify weakness in structures is introduced. The key novelty lies in letting the load and measurements to be random variables. Subsequently…

We propose a novel estimation approach for a general class of semi-parametric time series models where the conditional expectation is modeled through a parametric function. The proposed class of estimators is based on a Gaussian…

We develop a new extreme value theory for repeated cross-sectional and panel data to construct asymptotically valid confidence intervals (CIs) for conditional extremal quantiles from a fixed number $k$ of nearest-neighbor tail observations.…

The paper Zhao et al. (2015) shows that mean-CVaR-skewness portfolio optimization problems based on asymetric Laplace (AL) distributions can be transformed into quadratic optimization problems under which closed form solutions can be found.…

We study convergence rates of variational posterior distributions for nonparametric and high-dimensional inference. We formulate general conditions on prior, likelihood, and variational class that characterize the convergence rates. Under…

Credit Suisse First Boston (CSFB) launched in 1997 the model CreditRisk+ which aims at calculating the loss distribution of a credit portfolio on the basis of a methodology from actuarial mathematics. Knowing the loss distribution, it is…

Weighted average derivative effects (WADEs) are nonparametric estimands with uses in economics and causal inference. Debiased WADE estimators typically require learning the conditional mean outcome as well as a Riesz representer (RR) that…

Inference in extreme value theory relies on a limited number of extreme observations, making estimation challenging. To address this limitation, we propose a non-parametric simulation scheme, the multivariate extreme events spectral…

In this paper we study time-consistent risk measures for returns that are given by a GARCH(1,1) model. We present a construction of risk measures based on their static counterparts that overcomes the lack of time-consistency. We then study…

The concept of univariate Range Value-at-Risk, presented by Cont et al. (2010), is extended in the multidimensional setting. Traditional risk measures are not well suited when dealing with heavy-tail distributions and infinite tail…

The Lambda Value-at-Risk (Lambda-VaR) is a generalization of the Value-at-Risk (VaR), which has been actively studied in quantitative finance. Over the past two decades, the Expected Shortfall (ES) has become one of the most important risk…

Value-at-risk (VaR) has been playing the role of a standard risk measure since its introduction. In practice, the delta-normal approach is usually adopted to approximate the VaR of portfolios with option positions. Its effectiveness,…

We study risk-sensitive planning under partial observability using the dynamic risk measure Iterated Conditional Value-at-Risk (ICVaR). A policy evaluation algorithm for ICVaR is developed with finite-time performance guarantees that do not…