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A Conditional Value-at-Risk Based Inexact Water Allocation Model

✍ Scribed by L. G. Shao; X. S. Qin; Y. Xu

Book ID
106561211
Publisher
Springer Netherlands
Year
2011
Tongue
English
Weight
483 KB
Volume
25
Category
Article
ISSN
0920-4741

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## ABSTRACT In this paper, we investigate the performance of a class of M‐estimators for both symmetric and asymmetric conditional heteroscedastic models in the prediction of value‐at‐risk. The class of estimators includes the least absolute deviation (LAD), Huber's, Cauchy and B‐estimator, as well