Mixed data sampling expectile regression with applications to measuring financial risk
Qifa Xu, Lu Chen, Cuixia Jiang, Keming Yu
| Year of publication: |
2020
|
|---|---|
| Authors: | Xu, Qifa ; Chen, Lu ; Jiang, Cuixia ; Yu, Keming |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 91.2020, p. 469-486
|
| Subject: | Expected shortfall (ES) | Financial risk measure | MIDAS expectile regression | Mixed frequency data | Value at risk (VaR) | Risikomaß | Risk measure | Regressionsanalyse | Regression analysis | Theorie | Theory | Messung | Measurement | Portfolio-Management | Portfolio selection | Risiko | Risk | Prognoseverfahren | Forecasting model | Monte-Carlo-Simulation | Monte Carlo simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2020.06.018 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012429122