Risk measures in a quantile regression credibility framework with Fama/French data applications
Georgios Pitselis
| Year of publication: |
May 2017
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| Authors: | Pitselis, Georgios |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 74.2017, p. 122-134
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| Subject: | Quantile credibility | Quantile regression | Regression value at risk | Conditional tail expectation | Quantile tail expectation | Regressionsanalyse | Regression analysis | Risikomaß | Risk measure | Schätzung | Estimation | Glaubwürdigkeit | Credibility | Statistische Verteilung | Statistical distribution | Messung | Measurement | Erwartungsbildung | Expectation formation | 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.insmatheco.2017.02.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011712415