Semiparametric estimation of expected shortfall and its application in finance
Yan Fang, Jian Li, Yinglin Liu, Yunfan Zhao
| 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 | Risikomaß | Risk measure | Nichtparametrisches Verfahren | Nonparametric statistics | Theorie | Theory | Portfolio-Management | Portfolio selection | Messung | Measurement | Regressionsanalyse | Regression analysis |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.2917 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014292830