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Please use this identifier to cite or link to this item:
http://bura.brunel.ac.uk/handle/2438/21142| Title: | Single-index expectile models for estimating conditional value at risk and expected shortfall |
| Authors: | Yu, K Jiang, R Hu, X |
| Keywords: | Single-index model;Expectile regression;Value at risk |
| Issue Date: | 2020 |
| Publisher: | Oxford University Press |
| Citation: | Rong Jiang, Xueping Hu, Keming Yu, Single-Index Expectile Models for Estimating Conditional Value at Risk and Expected Shortfall, Journal of Financial Econometrics, 2020;, nbaa016, https://doi.org/10.1093/jjfinec/nbaa016 |
| URI: | http://bura.brunel.ac.uk/handle/2438/21142 |
| DOI: | https://doi.org/10.1093/jjfinec/nbaa016 |
| ISSN: | 1479-8409 |
| Appears in Collections: | Dept of Mathematics Embargoed Research Papers |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| FullText.pdf | Embargoed until 01 Jan 2030 | 124.15 kB | Adobe PDF | View/Open |
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