Global ETD Search
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Showing 1 to 2 of 2 for “"Expectiles"”.
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Essays on macroeconomic dynamics and the econometrics of expectiles
… in special cases where they are equal. But expectiles can be used in some models where quantiles are not helpful, such as binary response models. In those cases, expectile regression is the new best option. The fourth essay dispels misinformation from the literature. Two different likelihood …
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Expectil como medida de riesgo alterna al VaR y al Expected Shortfall (Una aplicación sobre factores de riesgo)
… presente trabajo se estudia la medida basada en Expectiles (EVaR) propuesta por Kuan et al (2009) como alternativa frente a las medidas de riesgo Value at risk y Expected Shortfall. Se modela el EVaR bajo dos enfoques: Modelos Paramétricos y Semiparamétricos, utilizando la medida de riesgo basada …