Please use this identifier to cite or link to this item:
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,
ISSN: 1479-8409
Appears in Collections:Dept of Mathematics Embargoed Research Papers

Files in This Item:
File Description SizeFormat 
FullText.pdfEmbargoed until 01 Jan 2030124.15 kBAdobe PDFView/Open

Items in BURA are protected by copyright, with all rights reserved, unless otherwise indicated.