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17-034/III - Interquantile Expectation Regression

  • Author
    Sander Barendse, Erasmus University Rotterdam, The Netherlands
  • Publication date
    March 20, 2017
  • Keywords
    quantile, interquantile expectation, regression, generalized method of moments, risk management, expected shortfall
  • JEL
    C13, C14, C32, C58, G32
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