Assessing Tail Risk Using Expectile Regressions with Partially Varying Coefficients
To characterize heteroskedasticity, nonlinearity, and asymmetry in tail risk, this study investigates a class of conditional (dynamic) expectile models with partially varying coefficients in which some coefficients are allowed to be constants, but others are allowed to be unknown functions of random...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
KeAi Communications Co.
2018
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| Subjects: | |
| Online Access: | View Fulltext in Publisher |