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 |
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FullText.pdf | Embargoed until 01 Jan 2030 | 124.15 kB | Adobe PDF | View/Open |
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