Prediction of extremal expectile based on regression models with heteroscedastic extremes
Wen Xu, Yanxi Hou, and Deyuan Li
| Year of publication: |
2022
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|---|---|
| Authors: | Xu, Wen ; Hou, Yanxi ; Li, Deyuan |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 40.2022, 2, p. 522-536
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| Subject: | Expectile regression | Heteroscedastic extremes | Quantile regression | Tail risk | Regressionsanalyse | Regression analysis | Schätztheorie | Estimation theory | Risikomaß | Risk measure | Ausreißer | Outliers | Statistische Verteilung | Statistical distribution |
| Description of contents: | Description [tandfonline.com] |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2020.1833890 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013533450