Efficient estimation of financial risk by regressing the quantiles of parametric distributions : an application to CARR models
Jennifer So Kuen Chan, Kok-Haur Ng, Thanakorn Nitithumbundit, Shelton Peiris
| Year of publication: |
2019
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| Authors: | Chan, Jennifer So Kuen ; Kok Haur Ng ; Thanakorn Nitithumbundit ; Peiris, Shelton |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 23.2019, 2, p. 1-22
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| Subject: | conditional autoregressive range model | generalised beta type two distribution | generalised-t distribution | parametric quantile regression | tail conditional expectation | volatility model | Schätztheorie | Estimation theory | Volatilität | Volatility | Regressionsanalyse | Regression analysis | Statistische Verteilung | Statistical distribution | Schätzung | Estimation | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Zeitreihenanalyse | Time series analysis | Nichtparametrisches Verfahren | Nonparametric statistics |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2017-0012 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012054882