Interval estimation of value-at-risk based on nonparametric models
Year of publication: |
2018
|
---|---|
Authors: | Khraibani, Hussein ; Nehme, Bilal ; Strauss, Olivier |
Published in: |
Econometrics. - Basel : MDPI, ISSN 2225-1146. - Vol. 6.2018, 4, p. 1-30
|
Publisher: |
Basel : MDPI |
Subject: | risk measures | quantile estimation | financial time series | Value-at-Risk | choquet integral | possibility theory | maxitive kernel | kernel estimation | parametric models |
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