A dynamic autoregressive expectile for time-invariant portfolio protection strategies
Benjamin Hamidi; Bertrand Maillet; Jean-Luc Prigent
| Year of publication: |
2014
|
|---|---|
| Authors: | Hamidi, Benjamin ; Maillet, Bertrand ; Prigent, Jean-Luc |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 46.2014, p. 1-29
|
| Subject: | CPPI | Expected shortfall | Expectile | Quantile regression | Dynamic quantile model | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Theorie | Theory | Regressionsanalyse | Regression analysis | Momentenmethode | Method of moments | Zeitreihenanalyse | Time series analysis |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010474410