Nonparametric inference of expectile-based value-at-risk for financial time series with application to risk assessment

F Zhang, Y Xu, C Fan - International Review of Financial Analysis, 2023 - Elsevier
Expectile-based value-at-risk (EVaR) is a more sensitive measure of the magnitude of
extreme losses compared to the conventional quantile-based value-at-risk (VaR). Besides …
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Nonparametric inference of expectile-based value-at-risk for financial time series with application to risk assessment

F Zhang, Y Xu, C Fan - International Review of Financial Analysis, 2023 - ideas.repec.org
Expectile-based value-at-risk (EVaR) is a more sensitive measure of the magnitude of
extreme losses compared to the conventional quantile-based value-at-risk (VaR). Besides …

Nonparametric inference of expectile-based value-at-risk for financial time series with application to risk assessment

F Zhang, Y Xu, C Fan - International Review of Financial …, 2023 - econpapers.repec.org
Expectile-based value-at-risk (EVaR) is a more sensitive measure of the magnitude of
extreme losses compared to the conventional quantile-based value-at-risk (VaR). Besides …