Applications of quantile regression to estimation and detection of some tail characteristics
Year of publication: |
2010-08-20
|
---|---|
Authors: | Hsu, Ya-Hui |
Other Persons: | He, Xuming (contributor) ; He, Xuming (contributor) ; Koenker, Roger (contributor) ; Liang, Feng (contributor) ; Portnoy, Steve (contributor) |
Subject: | Expected Shortfall | Quantile | Total Sharp Score | CAViaR | Bayesian Inference |
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