Bayesian CV@R/super-quantile regression

Tsionas, MG; Izzeldin, M

Tsionas, MG (reprint author), Univ Lancaster, Sch Management, Lancaster, England.; Tsionas, MG (reprint author), Athens Univ Econ & Business, Athens, Greece.

JOURNAL OF APPLIED STATISTICS, 2018; 45 (16): 2943

Abstract

In this paper we provide a Bayesian interpretation of the conditional value at risk, CV@R, or super-quantile regression recently developed by Rockafel......

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