A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies

Benjamin Hamidi, Bertrand Maillet and Jean-Luc Prigent

No 164, LEO Working Papers / DR LEO from Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans

Keywords: CPPI; VaR; Expected Shortfall; Expective; Quantile Regression; Dynamic Quantile Model (search for similar items in EconPapers)
Date: 2013
New Economics Papers: this item is included in nep-rmg
References: Add references at CitEc
Citations:

Downloads: (external link)
http://data.leo-univ-orleans.fr/media/search-works/164/dr201318.pdf
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to data.leo-univ-orleans.fr:80 (A connection attempt failed because the connected party did not properly respond after a period of time, or established connection failed because connected host has failed to respond.)

Related works:
Journal Article: A dynamic autoregressive expectile for time-invariant portfolio protection strategies (2014)
Working Paper: A dynamic autoregressive expectile for time-invariant portfolio protection strategies (2014)
Working Paper: A dynamic autoregressive expectile for time-invariant portfolio protection strategies (2014)
Working Paper: A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies (2014)
Working Paper: A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:leo:wpaper:164

Access Statistics for this paper

More papers in LEO Working Papers / DR LEO from Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans Contact information at EDIRC.
Bibliographic data for series maintained by Sébastien Galanti ().