Expected Shortfall Regression for High-Dimensional Additive Models

Toshio Honda, 敏雄 本田 and Po-Hsiang Peng

No 2025-01, Discussion Papers from Graduate School of Economics, Hitotsubashi University

Keywords: expected shortfall; quantile regression; group Lasso; group SCAD; B-spline basis; additive models (search for similar items in EconPapers)
Pages: 37 pages
Date: 2025-02
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