Estimating quantiles with Linex loss function. Applications to VaR estimation (Q5469349)
From MaRDI portal
scientific article; zbMATH DE number 5024326
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimating quantiles with Linex loss function. Applications to VaR estimation |
scientific article; zbMATH DE number 5024326 |
Statements
Estimating quantiles with Linex loss function. Applications to VaR estimation (English)
0 references
18 May 2006
0 references
quantile estimation
0 references
Linex loss
0 references
VaR (Value at Risk)
0 references
normal distribution
0 references
nonparametric model
0 references
