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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