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ESTIMATION OF HIGH CONDITIONAL TAIL RISK BASED ON EXPECTILE REGRESSION - MaRDI portal

ESTIMATION OF HIGH CONDITIONAL TAIL RISK BASED ON EXPECTILE REGRESSION (Q5152549)

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scientific article; zbMATH DE number 7400642
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ESTIMATION OF HIGH CONDITIONAL TAIL RISK BASED ON EXPECTILE REGRESSION
scientific article; zbMATH DE number 7400642

    Statements

    title
    ESTIMATION OF HIGH CONDITIONAL TAIL RISK BASED ON EXPECTILE REGRESSION (English)
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    author
    Jie Hu
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    Yu Chen
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    Keqi Tan
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    publication date
    24 September 2021
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    zbMATH Keywords
    quantile regression
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    expectile regression
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    asymptotic
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    heavy-tailed distribution
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    tail index
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    Identifiers

    DOI
    10.1017/asb.2021.3
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    Mathematics Subject Classification ID
    91G05
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    62P05
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    62G08
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    zbMATH DE Number
    7400642
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    OpenAlex ID
    W3133201833
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