Quantile-based smooth transition value at risk estimation (Q5084340)
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scientific article; zbMATH DE number 7547369
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| English | Quantile-based smooth transition value at risk estimation |
scientific article; zbMATH DE number 7547369 |
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Quantile-based smooth transition value at risk estimation (English)
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24 June 2022
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CAViaR
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composite quantile regression
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conditional quantiles
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GARCH
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regime switching
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smooth transition
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sieve estimation
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