Quantile-based smooth transition value at risk estimation

Stefan Hubner and Pavel Čížek

Year of publication:	2019
Authors:	Hubner, Stefan ; Čížek, Pavel
Subject:	CAViaR \| composite quantile regression \| conditional quantiles \| GARCH \| regime switching \| smooth transition \| sieve estimation \| Risikomaß \| Risk measure \| Schätzung \| Estimation \| ARCH-Modell \| ARCH model \| Schätztheorie \| Estimation theory \| Regressionsanalyse \| Regression analysis \| Volatilität \| Volatility \| Zeitreihenanalyse \| Time series analysis \| Aktienindex \| Stock index \| Nichtparametrisches Verfahren \| Nonparametric statistics

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.1093/ectj/utz009 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012166749