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

Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range
Digital文書・図像類
Chen, Cathy W. S., Gerlach, Richard, Hwang, Bruce B. K., McAleer, MichaelInstitute of Economic Research, Kyoto University2011-05-18KIER Discussion Paper775
Available onlineOther Libraries in Japan
  • Summary, etc.... link with the Skewed-Laplace distribution. We examine how a range of ri...
  • Subject HeadingValue-at-Risk CAViaR model Skewed-Laplace distribution intra-day range backtesting M...

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