Limit theory for forecasts of extreme distortion risk measures and expectiles
Yannick Hoga
| Year of publication: |
2022
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|---|---|
| Authors: | Hoga, Yannick |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 20.2022, 1, p. 18-44
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| Subject: | central limit theory | distortion risk measures | expectiles | extreme value theory | location-scale model | Theorie | Theory | Risikomaß | Risk measure | Messung | Measurement | Ausreißer | Outliers | Prognoseverfahren | Forecasting model |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbz032 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012878185