Nonparametric inference of expectile-based value-at-risk for financial time series with application to risk assessment
Feipeng Zhang, Yixiong Xu, Caiyun Fan
| Year of publication: |
2023
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|---|---|
| Authors: | Zhang, Feipeng ; Xu, Yixiong ; Fan, Caiyun |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 90.2023, p. 1-8
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| Subject: | Coherent | Elicitability | EVaR | α-mixing | Risikomaß | Risk measure | Zeitreihenanalyse | Time series analysis | Nichtparametrisches Verfahren | Nonparametric statistics | Portfolio-Management | Portfolio selection | Induktive Statistik | Statistical inference | Risiko | Risk | Risikomanagement | Risk management | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2023.102852 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014469910