A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies
Year of publication: |
2014-06-26
|
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Authors: | Hamidi, Benjamin ; Maillet, Bertrand ; Prigent, Jean-Luc |
Institutions: | HAL |
Subject: | CPPI | VaR | Expected Shorfall | Expectile | Quantile Regression | Dynamic Quantile Model | Extreme Value |
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