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Year of publication
Subject
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expected shortfall 2 generalized method of moments 2 interquantile expectation 2 quantile 2 regression 2 risk management 2 Erwartungsbildung 1 Expectation formation 1 Method of moments 1 Momentenmethode 1 Portfolio selection 1 Portfolio-Management 1 Regression analysis 1 Regressionsanalyse 1 Risiko 1 Risikomanagement 1 Risikomaß 1 Risk 1 Risk management 1 Risk measure 1 Theorie 1 Theory 1
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Online availability
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Free 2
Type of publication
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Book / Working Paper 2
Type of publication (narrower categories)
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Working Paper 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1
Language
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English 2
Author
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Barendse, Sander 2
Published in...
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Discussion paper / Tinbergen Institute 1 Tinbergen Institute Discussion Paper 1
Source
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ECONIS (ZBW) 1 EconStor 1
Showing 1 - 2 of 2
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Interquantile Expectation Regression
Barendse, Sander - 2017
interquantile expectation (IQE) of the random variable of interest, without specifying the conditional distribution of the …. Our so-called interquantile expectation regression (IQER) estimator is based on the GMM framework. We derive consistency …
Persistent link: https://www.econbiz.de/10011662532
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Cover Image
Interquantile expectation regression
Barendse, Sander - 2017
interquantile expectation (IQE) of the random variable of interest, without specifying the conditional distribution of the …. Our so-called interquantile expectation regression (IQER) estimator is based on the GMM framework. We derive consistency …
Persistent link: https://www.econbiz.de/10011622915
Saved in:
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