Econometric Modeling of Risk Measures: A Selective Review of the Recent Literature
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More about this item
Keywords
Expectile; Expected Shortfall; Network; Nonparametric Estimation; Tail Dependence; Value at Risk.;All these keywords.
JEL classification:
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2018-10-22 (Econometrics)
- NEP-RMG-2018-10-22 (Risk Management)
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