Financial Risk Meter based on expectiles
Year of publication: |
2021
|
---|---|
Authors: | Ren, Rui ; Lu, Meng-Jou ; Li, Yingxing ; Härdle, Wolfgang |
Publisher: |
Berlin : Humboldt-Universität zu Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" |
Subject: | expectiles | EVaR | CoEVaR | expectile lasso regression | network analysis | systemicrisk | Financial Risk Meter |
Series: | IRTG 1792 Discussion Paper ; 2021-008 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 1755338228 [GVK] hdl:10419/233506 [Handle] RePEc:zbw:irtgdp:2021008 [RePEc] |
Classification: | C00 - Mathematical and Quantitative Methods. General |
Source: |
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