Dynamic quantile function models
Wilson Ye Chen, Gareth W. Peters, Richard H. Gerlach and Scott A. Sisson
| Year of publication: |
2022
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|---|---|
| Authors: | Chen, Wilson Ye ; Peters, Gareth ; Gerlach, Richard H. ; Sisson, Scott A. |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 22.2022, 9, p. 1665-1691
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| Subject: | g-and-h distributions | Markov chain Monte Carlo | Quantile functions | Symbolic data | Value-at-Risk | Risikomaß | Risk measure | Markov-Kette | Markov chain | Monte-Carlo-Simulation | Monte Carlo simulation | Statistische Verteilung | Statistical distribution | Schätztheorie | Estimation theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2022.2053193 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013367940