Estimation of high conditional tail risk based on expectile regression
by Jie Hu, Yu Chen and Keqi Tan
| Year of publication: |
2021
|
|---|---|
| Authors: | Hu, Jie ; Chen, Yu ; Tan, Keqi |
| Subject: | asymptotic | expectile regression | heavy-tailed distribution | Quantile regression | tail index | Regressionsanalyse | Regression analysis | Statistische Verteilung | Statistical distribution | Schätztheorie | Estimation theory | Risikomaß | Risk measure |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1017/asb.2021.3 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012523255