Open AccessEstimating Value-at-Risk and Average Value-at-Risk Measures Using Composite quantile Regression
Author(s) -
Ali Aghamohammadi,
مهدی سجودی
Publication year - 2017
Publication title -
journal of statistical sciences
Language(s) - English
Resource type - Journals
eISSN - 2783-2929
pISSN - 1735-8183
DOI - 10.18869/acadpub.jss.10.2.185
Subject(s) - quantile regression , statistics , econometrics , quantile , value at risk , regression analysis , regression , mathematics , market risk , risk measure , linear regression , economics , risk management , financial economics , finance , portfolio
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