Nonparametric expectile regression for conditional autoregressive expected shortfall estimation
Marcelo Brutti Righi, Yi Yang and Paulo Sergio Ceretta
| Year of publication: |
2014
|
|---|---|
| Authors: | Righi, Marcelo Brutti ; Yang, Yi ; Ceretta, Paulo Sergio |
| Published in: |
Risk management post financial crisis : a period of monetary easing. - Bingley [u.a.] : Emerald, ISBN 978-1-78441-027-8. - 2014, p. 83-95
|
| Subject: | Regressionsanalyse | Regression analysis | Nichtparametrisches Verfahren | Nonparametric statistics | Risikomaß | Risk measure | Schätzung | Estimation | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010430687