Assessing value at risk with CARE, the conditional autoregressive expectile models (Q302198)
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scientific article; zbMATH DE number 6600716
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| English | Assessing value at risk with CARE, the conditional autoregressive expectile models |
scientific article; zbMATH DE number 6600716 |
Statements
Assessing value at risk with CARE, the conditional autoregressive expectile models (English)
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4 July 2016
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asymmetric least squares
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CARE model
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expectile
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quantile
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prudentiality
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value at risk
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0.90102345
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0.8872211
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0.8784471
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0.8763315
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0.8723177
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0.8711275
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0.8681492
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