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A predictive approach to quantiles: application to value at risk and tail value at risk - MaRDI portal

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A predictive approach to quantiles: application to value at risk and tail value at risk (Q6619730)

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scientific article; zbMATH DE number 7927162
Language Label Description Also known as
English
A predictive approach to quantiles: application to value at risk and tail value at risk
scientific article; zbMATH DE number 7927162

    Statements

    title
    A predictive approach to quantiles: application to value at risk and tail value at risk (English)
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    author
    Henryk Gzyl
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    publication date
    16 October 2024
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    zbMATH Keywords
    quantiles as best predictors
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    value at risk
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    tail value at risk
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    prediction in non-Euclidean metrics
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    Identifiers

    Mathematics Subject Classification ID
    62-XX
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    60A99
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    60D99
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    62G08
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    zbMATH DE Number
    7927162
    0 references
     
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