Quantile-based smooth transition value at risk estimation
Stefan Hubner and Pavel Čížek
| Year of publication: |
2019
|
|---|---|
| Authors: | Hubner, Stefan ; Čížek, Pavel |
| Published in: |
The econometrics journal. - Oxford : Oxford University Press, ISSN 1368-423X, ZDB-ID 1475536-1. - Vol. 22.2019, 3, p. 241-261
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| 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://www.econbiz.de/10012166749