Semiparametric estimation of expected shortfall and its application in finance
Yan Fang, Jian Li, Yinglin Liu, Yunfan Zhao
Year of publication: |
2023
|
---|---|
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
|
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 |
Saved in:
Saved in favorites
Similar items by subject
-
Stressed portfolio optimization with semiparametric method
Han, Chuan-Hsiang, (2022)
-
Althof, Michael, (2022)
-
Chen, Xiangjin B., (2014)
- More ...
Similar items by person