Nonlinear expectile regression with application to value-at-risk and expected shortfall estimation
type: Item
instance of: scholarly article
title: Nonlinear expectile regression with application to value-at-risk and expected shortfall estimation
zbMATH Open document ID: 1468.62101
author: Minjo Kim
author: Sangyeol Lee
published in: Computational Statistics and Data Analysis
publication date: 2018-08-15T00:00:00Z
Mathematics Subject Classification ID: 62-08
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62J05
Mathematics Subject Classification ID: 62F12
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6918649
zbMATH Keywords: expectile regression
zbMATH Keywords: expected shortfall
zbMATH Keywords: value-at-risk
zbMATH Keywords: asymmetric least squares regression
zbMATH Keywords: consistency
zbMATH Keywords: asymptotic normality
describes a project that uses: CAViaR
describes a project that uses: QRM
MaRDI profile type: Publication
full work available at URL: j.csda.2015.07.011
OpenAlex ID: W1193828462
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DOI: 10.1016/J.CSDA.2015.07.011
description: scientific article; zbMATH DE number 6918649