Kernel conditional quantile estimation for stationary processes with application to conditional value-at-risk
Wei Biao Wu; Keming Yu; Gautam Mitra
| Year of publication: |
2008
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|---|---|
| Authors: | Wu, Wei Biao ; Yu, Keming ; Mitra, Gautam |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 6.2008, 2, p. 253-270
|
| Subject: | Schätztheorie | Estimation theory | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure |
| 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/10003687936