Risk measures in a quantile regression credibility framework with Fama/French data applications (Q2397859)
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scientific article; zbMATH DE number 6722902
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| English | Risk measures in a quantile regression credibility framework with Fama/French data applications |
scientific article; zbMATH DE number 6722902 |
Statements
Risk measures in a quantile regression credibility framework with Fama/French data applications (English)
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24 May 2017
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quantile credibility
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quantile regression
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regression value at risk
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conditional tail expectation
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quantile tail expectation
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0.857008695602417
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0.8161911964416504
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0.7919702529907227
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0.7836880683898926
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0.7632487416267395
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