Evaluation of condition VaR based on threshold quantile regression model (Q5318633)
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scientific article; zbMATH DE number 5583205
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| English | Evaluation of condition VaR based on threshold quantile regression model |
scientific article; zbMATH DE number 5583205 |
Statements
22 July 2009
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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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0.7824397683143616
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0.7599566578865051
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0.7577940821647644
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0.7515668272972107
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0.7492935657501221
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