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  • Search: subject:"Expectile regression"
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Year of publication
Subject
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Regression analysis 20 Regressionsanalyse 20 expectile regression 18 Schätztheorie 13 Estimation theory 12 Expectile regression 10 Risikomaß 7 Risk measure 7 Bootstrap 6 Goodness-of-fit tests 6 Theorie 6 Estimation 5 Schätzung 5 Theory 5 quantile regression 5 quantile treatment effect 5 smoothing and nonparametric regression 5 Nichtparametrisches Verfahren 4 Nonparametric statistics 4 Quantile regression 4 Risiko 4 Risk 4 fMRI 4 multivariate functional data 4 nuclear norm regularizer 4 risk perception 4 Bootstrap approach 3 Bootstrap-Verfahren 3 Causality analysis 3 Kausalanalyse 3 Portfolio selection 3 Portfolio-Management 3 Statistical distribution 3 Statistische Verteilung 3 Asymmetric least squares 2 China 2 Cognitive hierarchical model 2 Deutschland 2 Expected shortfall (ES) 2 Expectile Regression 2
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Online availability
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Free 18 Undetermined 17 CC license 1
Type of publication
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Article 22 Book / Working Paper 13
Type of publication (narrower categories)
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Article in journal 17 Aufsatz in Zeitschrift 17 Working Paper 10 Arbeitspapier 4 Graue Literatur 4 Non-commercial literature 4 Article 2 research-article 1
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Language
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English 31 Undetermined 4
Author
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Chao, Shih-Kang 7 Härdle, Wolfgang 6 Härdle, Wolfgang Karl 5 Dette, Holger 4 Huang, Chen 4 Proksch, Katharina 4 Guo, Mengmeng 3 Boortz, Christopher 2 Cicia, Gianni 2 Czado, Claudia 2 Del Giudice, Teresa 2 Duran, Esra Akdeniz 2 Fischer, Matthias 2 Furno, Marilena 2 Jurkatis, Simon 2 Kraus, Daniel 2 Kremer, Stephanie 2 Nautz, Dieter 2 Pendakur, Krishna 2 Pendakur, Ravi 2 Pfeuffer, Marius 2 Woodcock, Simon 2 Yu, Keming 2 Almanjahie, Ibrahim M. 1 Bonaccolto, Giovanni 1 Bouezmarni, Taoufik 1 Bouzebda, Salim 1 Caporin, Massimiliano 1 Chao, Shih-kang 1 Chen, Lu 1 Chen, Yu 1 Chikr Elmezouar, Zouaoui 1 Christou, Eliana 1 Doukali, Mohamed 1 Gao, Suhao 1 Grabchak, Michael 1 Güler, Kemal 1 Hou, Yanxi 1 Hu, Jie 1 Hu, Xueping 1
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Institution
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 2 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
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SFB 649 Discussion Paper 5 SFB 649 discussion paper 4 Econometric reviews 2 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 2 SFB 649 Discussion Papers 2 ASTIN bulletin : the journal of the International Actuarial Association 1 AStA Advances in Statistical Analysis 1 Advances in Economic Analysis & Policy 1 Agricultural and Food Economics 1 Agricultural and Food Economics : AFE 1 Computational economics 1 Ecological economics : the transdisciplinary journal of the International Society for Ecological Economics 1 Economic modelling 1 Economics letters 1 European journal of operational research : EJOR 1 Finance research letters 1 IRTG 1792 Discussion Paper 1 Insurance / Mathematics & economics 1 Journal of econometrics 1 Journal of financial econometrics 1 Journal of forecasting 1 MPRA Paper 1 Risks 1 Risks : open access journal 1 Statistics & Risk Modeling 1
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Source
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ECONIS (ZBW) 21 EconStor 8 RePEc 5 Other ZBW resources 1
Showing 11 - 20 of 35
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Single-index expectile models for estimating conditional value at risk and expected shortfall
Jiang, Rong; Hu, Xueping; Yu, Keming - In: Journal of financial econometrics 20 (2022) 2, pp. 345-366
Persistent link: https://www.econbiz.de/10013187986
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The MLE of Aigner, Amemiya, and Poirier is not the expectile MLE
Philipps, Collin S. - In: Econometric reviews 41 (2022) 1, pp. 99-114
Persistent link: https://www.econbiz.de/10013167586
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Shadow prices and abatement cost of soil erosion in Shaanxi Province, China : convex expectile regression approach
Wen, Xiaojie; Yao, Shunbo; Sauer, Johannes - In: Ecological economics : the transdisciplinary journal of … 201 (2022), pp. 1-12
Persistent link: https://www.econbiz.de/10013503732
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Estimation of high conditional tail risk based on expectile regression
Hu, Jie; Chen, Yu; Tan, Keqi - In: ASTIN bulletin : the journal of the International … 51 (2021) 2, pp. 539-570
Persistent link: https://www.econbiz.de/10012523255
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Measuring the risk of Chinese Fintech industry : evidence from the stock index
Yao, Yinhong; Li, Jianping; Sun, Xiaolei - In: Finance research letters 39 (2021), pp. 1-7
Persistent link: https://www.econbiz.de/10012805037
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Stress testing German industry sectors: Results from a vine copula based quantile regression
Fischer, Matthias; Kraus, Daniel; Pfeuffer, Marius; … - In: Risks 5 (2017) 3, pp. 1-13
quantile regression and expectile regression in order to illustrate its methodological effectiveness in the scenarios evaluated. …
Persistent link: https://www.econbiz.de/10011996661
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Stress testing German industry sectors : results from a vine copula based quantile regression
Fischer, Matthias; Kraus, Daniel; Pfeuffer, Marius; … - In: Risks : open access journal 5 (2017) 3, pp. 1-13
quantile regression and expectile regression in order to illustrate its methodological effectiveness in the scenarios evaluated. …
Persistent link: https://www.econbiz.de/10011688255
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Multivariate factorisable sparse asymmetric least squares regression
Chao, Shih-Kang; Härdle, Wolfgang Karl; Huang, Chen - 2016
FActorisable Sparse Tail Event Curves (FASTEC) via multivariate asymmetric least squares regression (expectile regression) in a … high-dimensional framework is proposed. Expectile regression captures the tail moments globally and the smooth loss …
Persistent link: https://www.econbiz.de/10011663440
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Factorisable sparse tail event curves with expectiles
Härdle, Wolfgang Karl; Huang, Chen; Chao, Shih-Kang - 2016
Persistent link: https://www.econbiz.de/10011531894
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Factorisable sparse tail event curves with expectiles
Härdle, Wolfgang; Huang, Chen; Chao, Shih-Kang - 2016
Persistent link: https://www.econbiz.de/10011452923
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