Matches in SemOpenAlex for { <https://semopenalex.org/work/W4225156747> ?p ?o ?g. }
Showing items 1 to 81 of
81
with 100 items per page.
- W4225156747 abstract "New methods for the estimation of the popular risk measures expected shortfall (ES) and Value-at-Risk (VaR) are introduced. These are based on a novel variant of composite quantile regression (CQR), which allows for the simultaneous estimation of quantiles at several levels at once. An extensive simulation study is performed, along with a data analysis based on two major US market indices and two financial sector stocks. The results suggest that the method has a good finite sample performance. This is the first methodology to use CQR for risk estimation." @default.
- W4225156747 created "2022-05-01" @default.
- W4225156747 creator A5049418599 @default.
- W4225156747 creator A5062646928 @default.
- W4225156747 date "2022-04-01" @default.
- W4225156747 modified "2023-09-25" @default.
- W4225156747 title "Risk Estimation With Composite Quantile Regression" @default.
- W4225156747 cites W1972556330 @default.
- W4225156747 cites W1977970167 @default.
- W4225156747 cites W1996742192 @default.
- W4225156747 cites W2019291268 @default.
- W4225156747 cites W2028828492 @default.
- W4225156747 cites W2054565503 @default.
- W4225156747 cites W2073767661 @default.
- W4225156747 cites W2074011487 @default.
- W4225156747 cites W2080296340 @default.
- W4225156747 cites W2084177755 @default.
- W4225156747 cites W2094146877 @default.
- W4225156747 cites W2118091795 @default.
- W4225156747 cites W2133596638 @default.
- W4225156747 cites W2160276648 @default.
- W4225156747 cites W2163490846 @default.
- W4225156747 cites W2291513049 @default.
- W4225156747 cites W2408774189 @default.
- W4225156747 cites W2585522699 @default.
- W4225156747 cites W2943563408 @default.
- W4225156747 cites W3047147853 @default.
- W4225156747 cites W3050995696 @default.
- W4225156747 cites W3100942525 @default.
- W4225156747 cites W3122046970 @default.
- W4225156747 cites W3170639130 @default.
- W4225156747 cites W4241653265 @default.
- W4225156747 doi "https://doi.org/10.1016/j.ecosta.2022.04.004" @default.
- W4225156747 hasPublicationYear "2022" @default.
- W4225156747 type Work @default.
- W4225156747 citedByCount "0" @default.
- W4225156747 crossrefType "journal-article" @default.
- W4225156747 hasAuthorship W4225156747A5049418599 @default.
- W4225156747 hasAuthorship W4225156747A5062646928 @default.
- W4225156747 hasConcept C104779481 @default.
- W4225156747 hasConcept C105795698 @default.
- W4225156747 hasConcept C11413529 @default.
- W4225156747 hasConcept C118671147 @default.
- W4225156747 hasConcept C149782125 @default.
- W4225156747 hasConcept C152877465 @default.
- W4225156747 hasConcept C162324750 @default.
- W4225156747 hasConcept C187736073 @default.
- W4225156747 hasConcept C33923547 @default.
- W4225156747 hasConcept C41008148 @default.
- W4225156747 hasConcept C63817138 @default.
- W4225156747 hasConcept C83546350 @default.
- W4225156747 hasConcept C96250715 @default.
- W4225156747 hasConceptScore W4225156747C104779481 @default.
- W4225156747 hasConceptScore W4225156747C105795698 @default.
- W4225156747 hasConceptScore W4225156747C11413529 @default.
- W4225156747 hasConceptScore W4225156747C118671147 @default.
- W4225156747 hasConceptScore W4225156747C149782125 @default.
- W4225156747 hasConceptScore W4225156747C152877465 @default.
- W4225156747 hasConceptScore W4225156747C162324750 @default.
- W4225156747 hasConceptScore W4225156747C187736073 @default.
- W4225156747 hasConceptScore W4225156747C33923547 @default.
- W4225156747 hasConceptScore W4225156747C41008148 @default.
- W4225156747 hasConceptScore W4225156747C63817138 @default.
- W4225156747 hasConceptScore W4225156747C83546350 @default.
- W4225156747 hasConceptScore W4225156747C96250715 @default.
- W4225156747 hasLocation W42251567471 @default.
- W4225156747 hasOpenAccess W4225156747 @default.
- W4225156747 hasPrimaryLocation W42251567471 @default.
- W4225156747 hasRelatedWork W2376310534 @default.
- W4225156747 hasRelatedWork W2563003513 @default.
- W4225156747 hasRelatedWork W2804154962 @default.
- W4225156747 hasRelatedWork W2890041053 @default.
- W4225156747 hasRelatedWork W3023065349 @default.
- W4225156747 hasRelatedWork W4223551069 @default.
- W4225156747 hasRelatedWork W4225156747 @default.
- W4225156747 hasRelatedWork W4237949580 @default.
- W4225156747 hasRelatedWork W4308624783 @default.
- W4225156747 hasRelatedWork W1847145371 @default.
- W4225156747 isParatext "false" @default.
- W4225156747 isRetracted "false" @default.
- W4225156747 workType "article" @default.