A varying-coefficient expectile model for estimating value at risk
Shangyu Xie; Yong Zhou; Alan T. K. Wan
| Year of publication: |
2014
|
|---|---|
| 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
|
| 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 | Portfolio-Management | Portfolio selection |
| 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/10010488423