CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles
| 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 876122x. - Vol. 22.2004, 4, p. 367-381
|