Assessing value at risk with CARE, the conditional autoregressive expectile models
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Publication:302198
DOI10.1016/j.jeconom.2008.12.002zbMath1429.62474OpenAlexW3123960162MaRDI QIDQ302198
Jin-Huei Yeh, Yu-Chin Hsu, Chung-Ming Kuan
Publication date: 4 July 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.12.002
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
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Uses Software
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