Estimation of value-at-risk by \(L^p\) quantile regression (Q6664136)
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scientific article; zbMATH DE number 7968022
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| English | Estimation of value-at-risk by \(L^p\) quantile regression |
scientific article; zbMATH DE number 7968022 |
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Estimation of value-at-risk by \(L^p\) quantile regression (English)
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16 January 2025
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calculation of VaR
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\(L^p\) quantile regression
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CLVaR models
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GARCH models
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CAR-\(L^p\)-quantile models
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