Quantile-based estimative VaR forecast and dependence measure: a simulation approach

DOI10.1155/2020/8276019zbMath1442.62229OpenAlexW3019902101MaRDI QIDQ778634

Khreshna Syuhada, Mahfudhotin, Risti Nur'aini

Publication date: 3 July 2020

Published in: Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2020/8276019

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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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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