Forecasting value at risk and expected shortfall using a semiparametric approach based on the asymmetric laplace distribution
James W. Taylor
| Year of publication: |
2019
|
|---|---|
| Authors: | Taylor, James W. |
| Subject: | CAViaR | Elicitability | Quantile regression | Risikomaß | Risk measure | Theorie | Theory | Regressionsanalyse | Regression analysis | Prognoseverfahren | Forecasting model | Nichtparametrisches Verfahren | Nonparametric statistics | Statistische Verteilung | Statistical distribution | Schätzung | Estimation | Maßzahl | Statistical measures |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2017.1281815 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012176554