Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range

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Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range

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Material Type: 文書・図像類
Title: Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range
Author/Editor: Chen, Cathy W. S.
Gerlach, Richard
Hwang, Bruce B. K.
McAleer, Michael
Author Heading: Chen, Cathy W. S.
Gerlach, Richard
Hwang, Bruce B. K.
McAleer, Michael
Publication, Distribution, etc.: Institute of Economic Research, Kyoto University
Publication Date: 2011-05-18
Publication Date (W3CDTF): 2011-05-18
Periodical title: KIER Discussion Paper
No. or year of volume/issue: 775
Volume: 775
Text Language Code: eng
Subject Heading: Value-at-Risk
CAViaR model
Skewed-Laplace distribution
intra-day range
backtesting
Markov chain Monte Carlo
NDC: 330
Target Audience: 一般
Format (IMT): application/pdf
Source: DP775.pdf （fulltext）
http://repository.kulib.kyoto-u.ac.jp/dspace/bitstream/2433/141344/1/DP775.pdf
Access Restrictions: インターネット公開
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 京都大学 : 京都大学学術情報リポジトリ