Efficient Estimation in Extreme Value Regression Models of Hedge Fund Tail Risks
Year of publication: |
[2023]
|
---|---|
Authors: | Hambuckers, Julien ; Kratz, Marie ; Usseglio-Carleve, Antoine |
Publisher: |
[S.l.] : SSRN |
Subject: | Hedgefonds | Hedge fund | Schätztheorie | Estimation theory | Ausreißer | Outliers | Risikomaß | Risk measure | Regressionsanalyse | Regression analysis | Schätzung | Estimation | Risikomanagement | Risk management | Kapitaleinkommen | Capital income | Risiko | Risk | Statistische Verteilung | Statistical distribution |
Extent: | 1 Online-Ressource (36 p) |
---|---|
Series: | ESSEC Business School Research Paper ; No. 2023-02 |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 7, 2023 erstellt |
Other identifiers: | 10.2139/ssrn.4440102 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Efficient estimation in extreme value regression models of hedge fund tail risks
Hambuckers, Julien, (2023)
-
Extreme M-quantiles as risk measures : from L1 to Lp optimization
Daouia, Abdelaati, (2017)
-
Value-at-risk and extreme returns
Daníelsson, Jón, (1997)
- More ...
-
Efficient estimation in extreme value regression models of hedge fund tail risks
Hambuckers, Julien, (2023)
-
An expectile computation cookbook
Daouia, Abdelaati, (2023)
-
Inference for extremal regression with dependent heavy-tailed data
Daouia, Abdelaati, (2022)
- More ...