Semiparametric varying-coefficient expectile model for estimating value at risk on dependent samples

DOI10.1360/N012019-00079zbMath1499.62394MaRDI QIDQ5064323

Yong Zhou, Zijian Wang, Fan Ping Zeng

Publication date: 21 March 2022

Published in: SCIENTIA SINICA Mathematica (Search for Journal in Brave)

zbMATH Keywords

value at riskthree-stage estimationvarying-coefficient expectile model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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