Nonparametric expected shortfall forecasting incorporating weighted quantiles
Giuseppe Storti, Chao Wang
| Year of publication: |
2022
|
|---|---|
| Authors: | Storti, Giuseppe ; Wang, Chao |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 38.2022, 1, p. 224-239
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| Subject: | Beta weight function | Expected shortfall | Joint loss | Quantile regression | Value at risk | Risikomaß | Risk measure | Nichtparametrisches Verfahren | Nonparametric statistics | Theorie | Theory | Prognoseverfahren | Forecasting model | Regressionsanalyse | Regression analysis | Portfolio-Management | Portfolio selection | Verlust | Loss | Betafaktor | Beta risk | Schätzung | Estimation | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2021.04.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013347785