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~person:"Härdle, Wolfgang Karl"
~subject:"value-at-risk"
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Härdle, Wolfgang Karl
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
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Factorisable sparse tail event curves
Chao, Shih-Kang
;
Härdle, Wolfgang Karl
;
Yuan, Ming
-
2015
In this paper, we propose a multivariate quantile
regression
method which enables localized analysis on conditional …
Persistent link: https://www.econbiz.de/10011380701
Saved in:
2
TEDAS - Tail Event Driven ASset Allocation
Härdle, Wolfgang Karl
;
Nasekin, Sergey
;
Chuen, David …
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2014
adaptive Lasso based quantile
regression
in order to determine an active set of negative non-zero coefficients. Based on these …
Persistent link: https://www.econbiz.de/10010785498
Saved in:
3
TEDAS - Tail Event Driven ASset Allocation
Härdle, Wolfgang Karl
;
Nasekin, Sergey
;
Lee, David Kuo …
-
2014
adaptive Lasso based quantile
regression
in order to determine an active set of negative non-zero coefficients. Based on these …
Persistent link: https://www.econbiz.de/10010427059
Saved in:
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