The Alpha-Quantile Distribution Function and its Applications to Financial Modeling

Ivana Komunjer

No 288, Computing in Economics and Finance 2002 from Society for Computational Economics

Keywords: conditional quantiles; quantile regression; quasi-maximum likelihood; `alpha-Quantile'; consistency; asymptotic normality; Value-at-Risk (search for similar items in EconPapers)
JEL-codes: C13 C20 C51 (search for similar items in EconPapers)
Date: 2002-07-01
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Persistent link: https://EconPapers.repec.org/RePEc:sce:scecf2:288

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