Abstract:Expectile is a generalization of the expected value in probability and statistics. In finance and risk management, the expectile is considered to be an important risk measure due to its connection with gain-loss ratio and its coherent and elicitable properties. Linear multiple expectile regression was proposed in 1987 for estimating the conditional expectiles of a response given a set of covariates. Recently, more flexible nonparametric expectile regression models were proposed based on gradient boosting and k… Show more
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