Kuan, Chung-Ming; Yeh, Jin-Huei; Hsu, Yu-Chin - In: Journal of Econometrics 150 (2009) 2, pp. 261-270
In this paper we propose a downside risk measure, the expectile-based Value at Risk (EVaR), which is more sensitive to the magnitude of extreme losses than the conventional quantile-based VaR (QVaR). The index [theta] of an EVaR is the relative cost of the expected margin shortfall and hence...