The Alpha-Quantile Distribution Function and its Applications to Financial Modeling
| Year of publication: |
2002-07-01
|
|---|---|
| Authors: | Komunjer, Ivana |
| Institutions: | Society for Computational Economics - SCE |
| Subject: | conditional quantiles | quantile regression | quasi-maximum likelihood | `alpha-Quantile' | consistency | asymptotic normality | Value-at-Risk |
| Series: | |
|---|---|
| Type of publication: | Book / Working Paper |
| Notes: | The text is part of a series Computing in Economics and Finance 2002 Number 288 |
| Classification: | C13 - Estimation ; C20 - Econometric Methods: Single Equation Models. General ; C51 - Model Construction and Estimation |
| Source: |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10005706623