A dynamic autoregressive expectile for time-invariant portfolio protection strategies (Q1994618)
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scientific article; zbMATH DE number 6970554
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A dynamic autoregressive expectile for time-invariant portfolio protection strategies |
scientific article; zbMATH DE number 6970554 |
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A dynamic autoregressive expectile for time-invariant portfolio protection strategies (English)
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1 November 2018
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CPPI
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expected shortfall
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expectile
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quantile regression
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dynamic quantile model
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0.84384376
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0.8436812
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0.8412266
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0.8391319
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0.8368449
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0.8366292
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0.83605826
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0.8340203
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0.83338875
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