Predicting extreme value at risk: nonparametric quantile regression with refinements from extreme value theory
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Publication:1927187
DOI10.1016/j.csda.2012.03.016zbMath1254.91279MaRDI QIDQ1927187
Publication date: 30 December 2012
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2012.03.016
risk management; monotonization; value at risk; nonparametric quantile regression; extreme value statistical applications
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Uses Software
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