Using exponentially weighted quantile regression to estimate value at risk and expected shortfall
Year of publication: |
2008
|
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Authors: | Taylor, James W. |
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, 3, p. 382-406
|
Subject: | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Prognoseverfahren | Forecasting model | Regressionsanalyse | Regression analysis |
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