Efficient estimation of financial risk by regressing the quantiles of parametric distributions: an application to CARR models (Q2697030)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient estimation of financial risk by regressing the quantiles of parametric distributions: an application to CARR models |
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Efficient estimation of financial risk by regressing the quantiles of parametric distributions: an application to CARR models (English)
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17 April 2023
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conditional autoregressive range model
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generalised beta type two distribution
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generalised-t distribution
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parametric quantile regression
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tail conditional expectation
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volatility model
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