A varying-coefficient expectile model for estimating value at risk
Year of publication: |
2014
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Authors: | Xie, Shangyu ; Zhou, Yong ; Wan, Alan T. K. |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 32.2014, 4, p. 576-592
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Subject: | Asymmetric squared error loss | α-mixing | Expected shortfall | Local linear smoothing | One-step weighted least squares | Value at risk | Risikomaß | Risk measure | Schätztheorie | Estimation theory | Nichtparametrisches Verfahren | Nonparametric statistics | Zeitreihenanalyse | Time series analysis |
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