Nonlinear expectile regression with application to Value-at-Risk and expected shortfall estimation

Minjo Kim, Sangyeol Lee

Type: Article

Publication Date: 2015-08-04

Citations: 53

DOI: https://doi.org/10.1016/j.csda.2015.07.011

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Computational Statistics & Data Analysis - View

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Action	Title	Year	Authors
+	Chapter 36 Large sample estimation and hypothesis testing	1994	Whitney K. Newey Daniel McFadden
+	Quantile Regression Estimator for GARCH Models	2012	Sangyeol Lee Jungsik Noh
+	Generalized method of moments specification testing	1985	Whitney K. Newey
+ PDF Chat	Estimating Nonlinear Dynamic Models Using Least Absolute Error Estimation	1991	Andrew Weiss
+	Asymmetric Least Squares Estimation and Testing	1987	Whitney K. Newey James L. Powell
+	MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS	2002	Marine Carrasco Xiaohong Chen
+	Regression Analysis when the Dependent Variable Is Truncated Normal	1973	Takeshi Amemiya
+	The behavior of maximum likelihood estimates under nonstandard conditions	1967	Peter J. Huber
+	New Ways to Prove Central Limit Theorems	1985	David Pollard
+ PDF Chat	Stability of nonlinear AR‐GARCH models	2008	Mika Meitz Pentti Saikkonen