Browsing NTNU Open by Author "Ekrem, Hilde"
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Modelling the return distribution of shipping stocks using quantile regression
Ekrem, Hilde; Kristensen, Cecilie (Master thesis, 2016-09-21)This article models the risk profile of shipping stocks using the quantile regression approach. The method enables calculation and stress testing of Value-at-Risk (VaR) directly from the estimated conditional quantiles. ...