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

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Title
Nonlinear expectile regression with application to Value-at-Risk and expected shortfall estimation
Authors
Keywords
Expectile regression, Expected shortfall, Value-at-Risk, Asymmetric least squares regression, Consistency, Asymptotic normality
Journal
COMPUTATIONAL STATISTICS & DATA ANALYSIS
Volume 94, Issue -, Pages 1-19
Publisher
Elsevier BV
Online
2015-08-05
DOI
10.1016/j.csda.2015.07.011

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