A new generalized exponentially weighted moving average quantile model and its statistical inference
Year of publication: |
2023
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Authors: | Zhu, Ke |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 237.2023, 1, p. 1-25
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Subject: | Conditional quantile | Generalized exponentially weighted moving average quantile model | Quantile time series model | Value at risk | Schätztheorie | Estimation theory | Risikomaß | Risk measure | Zeitreihenanalyse | Time series analysis | Stochastischer Prozess | Stochastic process | Induktive Statistik | Statistical inference |
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