Efficient estimation of financial risk by regressing the quantiles of parametric distributions: an application to CARR models (Q2697030)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Efficient estimation of financial risk by regressing the quantiles of parametric distributions: an application to CARR models |
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient estimation of financial risk by regressing the quantiles of parametric distributions: an application to CARR models |
scientific article |
Statements
Efficient estimation of financial risk by regressing the quantiles of parametric distributions: an application to CARR models (English)
0 references
17 April 2023
0 references
conditional autoregressive range model
0 references
generalised beta type two distribution
0 references
generalised-t distribution
0 references
parametric quantile regression
0 references
tail conditional expectation
0 references
volatility model
0 references
0 references
0 references
0 references
0 references
0 references
