Pages that link to "Item:Q302198"
From MaRDI portal
The following pages link to Assessing value at risk with CARE, the conditional autoregressive expectile models (Q302198):
Displaying 50 items.
- Tail risk inference via expectiles in heavy-tailed time series (Q135350) (← links)
- Scenario aggregation method for portfolio expectile optimization (Q308418) (← links)
- Bootstrap confidence bands and partial linear quantile regression (Q413777) (← links)
- Quantile-based estimative VaR forecast and dependence measure: a simulation approach (Q778634) (← links)
- On the nonparametric estimation of the functional expectile regression (Q784366) (← links)
- Portfolio optimization with transaction costs: a two-period mean-variance model (Q889558) (← links)
- Asymmetric least squares support vector machine classifiers (Q1615251) (← links)
- Simultaneous confidence bands for expectile functions (Q1633261) (← links)
- A continuous threshold expectile model (Q1658402) (← links)
- Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization (Q1715530) (← links)
- A dynamic autoregressive expectile for time-invariant portfolio protection strategies (Q1994618) (← links)
- Generalized quantiles as risk measures (Q2015471) (← links)
- The \(k\)th power expectile regression (Q2046477) (← links)
- Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models (Q2073711) (← links)
- The functional \(k\mathrm{NN}\) estimator of the conditional expectile: uniform consistency in number of neighbors (Q2076038) (← links)
- \(K\)-expectiles clustering (Q2078530) (← links)
- Financial risk meter FRM based on expectiles (Q2078547) (← links)
- A tail-revisited Markowitz mean-variance approach and a portfolio network centrality (Q2090116) (← links)
- Local linear estimate of the functional expectile regression (Q2107583) (← links)
- Multivariate \(\rho \)-quantiles: a spatial approach (Q2137049) (← links)
- Performance measurement with expectiles (Q2145704) (← links)
- ExpectHill estimation, extreme risk and heavy tails (Q2225005) (← links)
- Jackknife model averaging for expectile regressions in increasing dimension (Q2226835) (← links)
- Tail expectile process and risk assessment (Q2278671) (← links)
- Efficient estimation in expectile regression using envelope models (Q2286363) (← links)
- The second-order asymptotic properties of asymmetric least squares estimation (Q2297951) (← links)
- Econometric modeling of risk measures: a selective review of the recent literature (Q2314141) (← links)
- Penalized expectile regression: an alternative to penalized quantile regression (Q2414951) (← links)
- Principal component analysis in an asymmetric norm (Q2418501) (← links)
- The consistency and asymptotic normality of the kernel type expectile regression estimator for functional data (Q2657187) (← links)
- Data-driven and distribution-free estimation of tailed-related risks for GARCH models using composite asymmetric least squares regression (Q2667134) (← links)
- MODEL-FREE INFERENCE FOR TAIL RISK MEASURES (Q2786682) (← links)
- COHERENCE AND ELICITABILITY (Q2831006) (← links)
- Optimal reinsurance with expectile (Q4575369) (← links)
- Beyond mean regression (Q4970816) (← links)
- Expectile and quantile regression—David and Goliath? (Q4971425) (← links)
- Bayesian expectile regression with asymmetric normal distribution (Q4975165) (← links)
- Nonparametric estimation of expectile regression in functional dependent data (Q5030947) (← links)
- A class of distortion measures generated from expectile and its estimation (Q5078121) (← links)
- Extreme tail risk estimation with the generalized Pareto distribution under the peaks-over-threshold framework (Q5085614) (← links)
- RISK MEASURES DERIVED FROM A REGULATOR’S PERSPECTIVE ON THE REGULATORY CAPITAL REQUIREMENTS FOR INSURERS (Q5140089) (← links)
- ESTIMATION OF HIGH CONDITIONAL TAIL RISK BASED ON EXPECTILE REGRESSION (Q5152549) (← links)
- Reinsurance premium principles based on weighted loss functions (Q5242235) (← links)
- Extremiles: A New Perspective on Asymmetric Least Squares (Q5242482) (← links)
- ASYMPTOTIC EXPANSIONS OF GENERALIZED QUANTILES AND EXPECTILES FOR EXTREME RISKS (Q5358042) (← links)
- ANALYZING AND PREDICTING CAT BOND PREMIUMS: A FINANCIAL LOSS PREMIUM PRINCIPLE AND EXTREME VALUE MODELING (Q5745198) (← links)
- An elastic-net penalized expectile regression with applications (Q5861466) (← links)
- Variable selection and debiased estimation for single‐index expectile model (Q6075136) (← links)
- Multivariate expectile-based distribution: properties, Bayesian inference, and applications (Q6101695) (← links)
- Retire: robust expectile regression in high dimensions (Q6150528) (← links)
