CAViaR: conditional autoregressive value at risk by regression quantiles
Robert F. Engle; Simone Manganelli
| Year of publication: |
2004
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|---|---|
| Authors: | Engle, Robert F. ; Manganelli, Simone |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 22.2004, 4, p. 367-381
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| Subject: | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Risiko | Risk | Messung | Measurement | Regressionsanalyse | Regression analysis | Theorie | Theory | Risikomaß | Risk measure | Schätzung | Estimation | Kapitaleinkommen | Capital income | USA | United States |
| Extent: | graph. Darst |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10002372839