Single-index-based CoVaR with very high-dimensional covariates
Yan Fan, Wolfgang Karl Härdle, Weining Wang, Lixing Zhu
| Year of publication: |
Apri 2018
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|---|---|
| Authors: | Fan, Yan ; Härdle, Wolfgang ; Wang, Weining ; Zhu, Lixing |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 36.2018, 2, p. 212-226
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| Subject: | Composite quasi-maximum likelihood estimation | CoVaR | Lasso | Minimum average contrast estimation | Model selection | Quantile single-index regression | Schätztheorie | Estimation theory | Regressionsanalyse | Regression analysis | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Risikomaß | Risk measure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2016.1180990 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011894611