Investment Risk Measurement Based on Quantiles and Expectiles
In the presented research, we attempt to examine special investment risk measurement. We use quantile regression as a model by describing more general properties of the response distribution. In quantile regression, we assume regression effects on the conditional quantile function of the response. I...
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| Format: | Article |
| Language: | English |
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Lodz University Press
2018-09-01
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| Series: | Acta Universitatis Lodziensis. Folia Oeconomica |
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| Online Access: | https://czasopisma.uni.lodz.pl/foe/article/view/2513 |