Evaluating CVaR conditioned on VPIN based on the threshold quantile regression model (Q2923665)
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scientific article; zbMATH DE number 6364261
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| English | Evaluating CVaR conditioned on VPIN based on the threshold quantile regression model |
scientific article; zbMATH DE number 6364261 |
Statements
3 November 2014
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threshold quantile regression model
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conditional value at risk
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back-test methods
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Evaluating CVaR conditioned on VPIN based on the threshold quantile regression model (English)
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0.7599566578865051
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0.7128497958183289
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0.7091338038444519
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0.7073590159416199
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