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Kernel conditional quantile estimation for stationary processes with application to conditional value-at-risk
Wu, Wei Biao; Yu, Keming; Mitra, Gautam - In: Journal of financial econometrics : official journal of … 6 (2008) 2, pp. 253-270
Persistent link: https://www.econbiz.de/10003687936
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Kernel quantile-based estimation of expected shortfall
Yu, Keming; Ally, Abdallah K.; Yang, Shanchao; Hand, D. J. - In: Journal of risk 12 (2009/10) 4, pp. 15-32
Persistent link: https://www.econbiz.de/10003995401
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Single-index expectile models for estimating conditional value at risk and expected shortfall
Jiang, Rong; Hu, Xueping; Yu, Keming - In: Journal of financial econometrics 20 (2022) 2, pp. 345-366
Persistent link: https://www.econbiz.de/10013187986
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Binary quantile regression and variable selection : a new approach
Aristodemou, Katerina; He, Jian; Yu, Keming - In: Econometric reviews 38 (2019) 6, pp. 679-694
Persistent link: https://www.econbiz.de/10012181345
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No-crossing single-index quantile regression curve estimation
Jiang, Rong; Yu, Keming - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 2, pp. 309-320
Persistent link: https://www.econbiz.de/10014448153