Using exponentially weighted quantile regression to estimate value at risk and expected shortfall.
We propose exponentially weighted quantile regression (EWQR) for estimating time-varying quantiles. The EWQR cost function can be used as the basis for estimating the time-varying expected shortfall associated with the EWQR quantile forecast. We express EWQR in a kernel estimation framework, and the...
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| Format: | Journal article |
| Language: | English |
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Oxford University Press
2008
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