A parsimonious quantile regression model to forecast day-ahead value-at-risk
Erik Haugom, Rina Ray, Carl J. Ullrich, Steinar Veka, Sjur Westgaard
| Year of publication: |
February 2016
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|---|---|
| Authors: | Haugom, Erik ; Ray, Rina ; Ullrich, Carl J. ; Veka, Steinar ; Westgaard, Sjur |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 16.2016, p. 196-207
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| Subject: | Heterogeneous investors | HAR-QREG/Quantile regression | Risk management | Value-at-risk | Volatility | Volatilität | Risikomaß | Risk measure | Risikomanagement | Regressionsanalyse | Regression analysis | Prognoseverfahren | Forecasting model | Theorie | Theory | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2015.12.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011656176