Semiparametric estimation of expected shortfall and its application in finance
Year of publication: |
2023
|
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Authors: | Fang, Yan ; Li, Jian ; Liu, Yinglin ; Zhao, Yunfan |
Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 42.2023, 4, p. 835-851
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Subject: | expected shortfall | risk measure | semiparametric method | single index quantile regression | Theorie | Theory | Risikomaß | Risk measure | Nichtparametrisches Verfahren | Nonparametric statistics | Messung | Measurement | Portfolio-Management | Portfolio selection | Regressionsanalyse | Regression analysis |
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