Quantile Regression in Risk Calibration
Year of publication: |
2012-01
|
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Authors: | Chao, Shih-Kang ; Härdle, Wolfgang Karl ; Wang, Weining |
Institutions: | Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät |
Subject: | CoVaR | Value-at-Risk | quantile regression | locally linear quantile regression | partial linear model | semiparametric model |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number SFB649DP2012-006 26 pages |
Classification: | C14 - Semiparametric and Nonparametric Methods ; C21 - Cross-Sectional Models; Spatial Models ; C22 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; G01 - Financial Crises ; G10 - General Financial Markets. General ; G20 - Financial Institutions and Services. General ; G32 - Financing Policy; Capital and Ownership Structure |
Source: |
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Quantile regression in risk calibration
Chao, Shih-Kang, (2012)
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Quantile regression in risk calibration
Chao, Shih-Kang, (2012)
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