Conditional Value-at-Risk : semiparametric estimation and inference
Chuan-Sheng Wang, Zhibiao Zhao
| Year of publication: |
November 2016
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|---|---|
| Authors: | Wang, Chuan-Sheng ; Zhao, Zhibiao |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 195.2016, 1, p. 86-103
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| Subject: | Bootstrap | Conditional expected shortfall | Conditional Value-at-Risk | Nonlinear time series | Quantile regression | Semiparametric methods | Risikomaß | Risk measure | Nichtparametrisches Verfahren | Nonparametric statistics | Zeitreihenanalyse | Time series analysis | Bootstrap-Verfahren | Bootstrap approach | Regressionsanalyse | Regression analysis | Schätzung | Estimation | Portfolio-Management | Portfolio selection | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2016.07.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011705234