Investment Risk Measurement Based on Quantiles and Expectiles
Investment Risk Measurement Based on Quantiles and Expectiles is a scholarly work, published in 2018 in ''Acta Universitatis Lodziensis. Folia Oeconomica''. The main subjects of the publication include value at risk, Quantile regression, econometrics, ordinary least squares, expected shortfall, Fuzzy differential equation, economics, statistics, linear regression, CVAR, robust optimization, regression analysis, quantile, mathematics, and regression. The authors use quantile regression as a model by describing more general properties of the response distribution.