A semiparametric nonlinear quantile regression model for financial returns
Krenar Avdulaj and Jozef Barunik
| Year of publication: |
Feb 2017
|
|---|---|
| Authors: | Avdulaj, Krenar ; Barunik, Jozef |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 21.2017, 1, p. 81-97
|
| Subject: | copula quantile regression | realized volatility | value-at-risk | Theorie | Theory | Regressionsanalyse | Regression analysis | Volatilität | Volatility | Kapitaleinkommen | Capital income | Risikomaß | Risk measure | Multivariate Verteilung | Multivariate distribution | Nichtparametrisches Verfahren | Nonparametric statistics | Börsenkurs | Share price | Schätzung | Estimation |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2016-0044 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011650231