Cross-sectional quantile regression for estimating conditional VaR of returns during periods of high volatility
Xenxo Vidal-Llana, Montserrat Guillén
| Year of publication: |
2022
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| Authors: | Vidal-Llana, Xenxo ; Guillén, Montserrat |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 63.2022, p. 1-9
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| Subject: | Asset pricing | Expected shortfall | Extreme values | Risk management | Risikomaß | Risk measure | Volatilität | Volatility | Kapitaleinkommen | Capital income | Risikomanagement | ARCH-Modell | ARCH model | Regressionsanalyse | Regression analysis | Börsenkurs | Share price | Schätzung | Estimation | Portfolio-Management | Portfolio selection | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2022.101835 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014225819