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Estimation of value-at-risk using single index quantile regression - MaRDI portal

Estimation of value-at-risk using single index quantile regression (Q5034184)

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scientific article; zbMATH DE number 7480926
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English
Estimation of value-at-risk using single index quantile regression
scientific article; zbMATH DE number 7480926

    Statements

    title
    Estimation of value-at-risk using single index quantile regression (English)
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    author
    Eliana Christou
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    Michael Grabchak
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    publication date
    24 February 2022
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    zbMATH Keywords
    VaR
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    risk estimation
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    semiparametric methods
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    quantile regression
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    single index
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    describes a project that uses
    CAViaR
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    QRM
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    Identifiers

    zbMATH DE Number
    7480926
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    OpenAlex ID
    W2943563408
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    Wikidata QID
    Q128161273
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