Nonparametric inference of expectile-based value-at-risk for financial time series with application to risk assessment-Reference-Cited by-同舟云学术

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Nonparametric inference of expectile-based value-at-risk for financial time series with application to risk assessment

Published:2023-11 Issue: Volume:90 Page:102852
ISSN:1057-5219
Container-title:International Review of Financial Analysis
language:en
Short-container-title:International Review of Financial Analysis

Author:

Zhang Feipeng^ORCID,Xu Yixiong^ORCID,Fan Caiyun

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference39 articles.

1. On the coherence of expected shortfall;Acerbi;Journal of Banking & Finance,2002

2. Regression analysis when the dependent variable is truncated normal;Amemiya;Econometrica,1973

3. Central limit theorems for empirical and U-proceses of stationary mixing sequences;Arcones;Journal of Theoretical Probability,1995

4. Coherent measures of risk;Artzner;Mathematical Finance,1999

5. Minimum capital requirements for market risk;Basel,2016

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Testing for Granger-Causality in Expectiles with an Application to Financial Contagion;2023

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