Expectiles and M-quantiles are quantiles
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- Xiu Xu & Andrija Mihoci & Wolfgang Karl Härdle, "undated". "lCARE – localizing Conditional AutoRegressive Expectiles," SFB 649 Discussion Papers SFB649DP2015-052, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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More about this item
KeywordsAsymmetric loss M-estimation;
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