Pages that link to "Item:Q1660129"
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The following pages link to Nonlinear expectile regression with application to value-at-risk and expected shortfall estimation (Q1660129):
Displaying 31 items.
- A joint quantile and expected shortfall regression framework (Q62993) (← links)
- Learning rates for kernel-based expectile regression (Q669274) (← links)
- On expectile-assisted inverse regression estimation for sufficient dimension reduction (Q830708) (← links)
- \(k\)-sample upper expectation linear regression-modeling, identifiability, estimation and prediction (Q899350) (← links)
- A continuous threshold expectile model (Q1658402) (← links)
- Dynamic semiparametric models for expected shortfall (and value-at-risk) (Q2000869) (← links)
- Dynamic large financial networks \textit{via} conditional expected shortfalls (Q2076940) (← links)
- Robust estimation and shrinkage in ultrahigh dimensional expectile regression with heavy tails and variance heterogeneity (Q2122800) (← links)
- Test for conditional quantile change in GARCH models (Q2151594) (← links)
- Data driven value-at-risk forecasting using a SVR-GARCH-KDE hybrid (Q2203392) (← links)
- The second-order asymptotic properties of asymmetric least squares estimation (Q2297951) (← links)
- Test for tail index constancy of GARCH innovations based on conditional volatility (Q2317888) (← links)
- Data-driven and distribution-free estimation of tailed-related risks for GARCH models using composite asymmetric least squares regression (Q2667134) (← links)
- NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY (Q4599616) (← links)
- Value at risk linear exponent (VARLINEX) forecasts (Q4647276) (← links)
- On entropy goodness-of-fit test based on integrated distribution function (Q4960695) (← links)
- Bootstrap entropy test for general location-scale time series models with heteroscedasticity (Q4960705) (← links)
- A new GEE method to account for heteroscedasticity using asymmetric least-square regressions (Q5044667) (← links)
- A class of distortion measures generated from expectile and its estimation (Q5078121) (← links)
- Risk measurement for conditionally heteroscedastic location-scale time series models with ASTD and AEPD innovations (Q5083339) (← links)
- Asymmetric influence measure for high dimensional regression (Q5093730) (← links)
- On entropy-based goodness-of-fit test for asymmetric Student-<i>t</i> and exponential power distributions (Q5106768) (← links)
- Estimation of Value-at-Risk and Expected Shortfall based on Nonlinear Models of Return Dynamics and Extreme Value Theory (Q5452737) (← links)
- An elastic-net penalized expectile regression with applications (Q5861466) (← links)
- Monitoring parameter change for time series models with application to location-Scale heteroscedastic models (Q5879914) (← links)
- Conditional quantile change test for time series based on support vector regression (Q6141736) (← links)
- Parametric expectile regression and its application for premium calculation (Q6171958) (← links)
- Test for conditional quantile change in general conditional heteroscedastic time series models (Q6197124) (← links)
- Expectile hidden Markov regression models for analyzing cryptocurrency returns (Q6494403) (← links)
- Penalized empirical likelihood for longitudinal expectile regression with growing dimensional data (Q6643298) (← links)
- Estimation of value-at-risk by \(L^p\) quantile regression (Q6664136) (← links)
