A dynamic autoregressive expectile for time-invariant portfolio protection strategies (Q1994618)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: A dynamic autoregressive expectile for time-invariant portfolio protection strategies |
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A dynamic autoregressive expectile for time-invariant portfolio protection strategies |
scientific article |
Statements
A dynamic autoregressive expectile for time-invariant portfolio protection strategies (English)
0 references
1 November 2018
0 references
CPPI
0 references
expected shortfall
0 references
expectile
0 references
quantile regression
0 references
dynamic quantile model
0 references
0 references
0 references
0 references
