Estimation of value-at-risk by $$L^{p}$$ L p quantile regression
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DOI: 10.1007/s10463-024-00911-y
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Keywords
Calculation of VaR; $$L^{p}$$ L p quantile regression; CLVaR models; GARCH models; CAR- $$L^{p}$$ L p -quantile models;All these keywords.
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