Single-index expectile models for estimating conditional value at risk and expected shortfall
Year of publication: |
2022
|
---|---|
Authors: | Jiang, Rong ; Hu, Xueping ; Yu, Keming |
Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 20.2022, 2, p. 345-366
|
Subject: | single-index model | expectile regression | value at risk | Risikomaß | Risk measure | Schätztheorie | Estimation theory |
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