Inference for joint quantile and expected shortfall regression

DOI10.1002/STA4.619MaRDI QIDQ6548879FDOQ6548879

Huixia Judy Wang, Xiang Peng

Publication date: 3 June 2024

Published in: Stat (Search for Journal in Brave)

zbMATH Keywords

expected shortfallquantilescore testtwo-step estimation

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• Computational issues for quantile regression
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• RIGHT-TAIL INFORMATION IN FINANCIAL MARKETS
• Forecasting Value at Risk and Expected Shortfall Using a Semiparametric Approach Based on the Asymmetric Laplace Distribution

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