Estimating quantiles with Linex loss function. Applications to VaR estimation

DOI10.4064/AM32-4-1zbMath1086.62030OpenAlexW2088483444MaRDI QIDQ5469349

Ryszard Zieliński

Publication date: 18 May 2006

Published in: Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4064/am32-4-1

zbMATH Keywords

normal distributionnonparametric modelquantile estimationLinex lossVaR (Value at Risk)

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Point estimation (62F10)

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