Assessing value at risk with CARE, the Conditional Autoregressive Expectile models

Journal of Econometrics

Volumn 150, Issue 2, 2009, Pages 261-270

  Kuan, Chung Ming ^a,d   Yeh, Jin Huei ^b   Hsu, Yu Chin ^c  

^a INSTITUTE OF ECONOMICS   (Taiwan)

^b NATIONAL CENTRAL UNIVERSITY   (Taiwan)

^c UNIVERSITY OF TEXAS AT AUSTIN   (United States)

^d NATIONAL TAIWAN UNIVERSITY   (Taiwan)

Author keywords

Asymmetric least squares; CARE model; Expectile; Prudentiality; Quantile; Value at Risk

Indexed keywords

ASYMMETRIC LEAST SQUARES; CARE MODEL; EXPECTILE; PRUDENTIALITY; QUANTILE; VALUE AT RISK;

ASYMPTOTIC ANALYSIS; CURVE FITTING; FINANCIAL DATA PROCESSING; LEAST SQUARES APPROXIMATIONS; PROBABILITY DISTRIBUTIONS; RISK ASSESSMENT; VALUE ENGINEERING;

RISK PERCEPTION;

EID: 67349106729     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2008.12.002     Document Type: Article

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