Using exponentially weighted quantile regression to estimate value at risk and expected shortfall

Journal of Financial Econometrics

Volumn 6, Issue 3, 2008, Pages 382-406

  Taylor, James W ^a  

^a UNIVERSITY OF OXFORD   (United Kingdom)

Author keywords

Exponential weighting; Financial risk; Kernel density estimation; Kernel smoothing; Quantile regression

Indexed keywords

EID: 45149109928     PISSN: 14798409     EISSN: 14798417     Source Type: Journal    
DOI: 10.1093/jjfinec/nbn007     Document Type: Article

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