Nonlinear expectile regression with application to value-at-risk and expected shortfall estimation (Q1660129)
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scientific article; zbMATH DE number 6918649
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| English | Nonlinear expectile regression with application to value-at-risk and expected shortfall estimation |
scientific article; zbMATH DE number 6918649 |
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Nonlinear expectile regression with application to value-at-risk and expected shortfall estimation (English)
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15 August 2018
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expectile regression
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expected shortfall
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value-at-risk
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asymmetric least squares regression
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consistency
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asymptotic normality
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