scientific article

zbMath1326.62208MaRDI QIDQ3454059

Khreshna Syuhada, Aniq A. Rohmawati

Publication date: 2 December 2015

Full work available at URL: http://www.ceser.in/ceserp/index.php/ijamas/article/view/3726

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

optimizationcoverage probabilityrisk measure

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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The expected-based value-at-risk and expected shortfall using quantile and expectile with application to electricity market data

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