Conditional VaR estimation using Pearson's type IV distribution.

Malay Bhattacharyya Abhishek Chaudhary Gaurav Yadav

Published in: Eur. J. Oper. Res. (2008)

Keyphrases

parameter estimation
neural network
conditional distributions
information retrieval
model selection
density estimation
estimation algorithm
spatial distribution
power law
accurate estimation
risk measures