Estimating value at risk and expected shortfall using expectiles

Journal of Financial Econometrics

Volumn 6, Issue 2, 2008, Pages 231-252

  Taylor, James W ^a  

^a UNIVERSITY OF OXFORD   (United Kingdom)

Author keywords

Asymmetric least squares; Conditional autoregressive expectiles; Expectiles; Financial risk

Indexed keywords

EID: 41049105103     PISSN: 14798409     EISSN: 14798417     Source Type: Journal    
DOI: 10.1093/jjfinec/nbn001     Document Type: Article

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