Using exponentially weighted quantile regression to estimate value at risk and expected shortfall
James W. Taylor
| Year of publication: |
2008
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|---|---|
| Authors: | Taylor, James W. |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 6.2008, 3, p. 382-406
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| Subject: | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Prognoseverfahren | Forecasting model | Regressionsanalyse | Regression analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003748064