Predicting extreme value at risk: nonparametric quantile regression with refinements from extreme value theory
type: Item
instance of: scholarly article
title: Predicting extreme value at risk: nonparametric quantile regression with refinements from extreme value theory
zbMATH Open document ID: 1254.91279
author: Julia Schaumburg
published in: Computational Statistics and Data Analysis
publication date: 2012-12-30T00:00:00Z
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 6119806
zbMATH Keywords: value at risk
zbMATH Keywords: nonparametric quantile regression
zbMATH Keywords: risk management
zbMATH Keywords: extreme value statistical applications
zbMATH Keywords: monotonization
describes a project that uses: QRM
describes a project that uses: CAViaR
MaRDI profile type: Publication
full work available at URL: j.csda.2012.03.016
OpenAlex ID: W2057389198
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DOI: 10.1016/J.CSDA.2012.03.016
description: scientific article; zbMATH DE number 6119806