Estimating value-at-risk using quantile regression and implied volatilities
Petter E. de Lange, Morten Risstad and Sjur Westgaard
| Year of publication: |
2022
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|---|---|
| Authors: | Lange, Petter Eilif de ; Risstad, Morten ; Westgaard, Sjur |
| Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 16.2022, 1, p. 53-76
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| Subject: | foreign exchange (FX) | over-the-counter foreign exchange (OTC FX) options | quantileregression (QR) | implied volatility | value-at-risk (VaR) | Volatilität | Volatility | Risikomaß | Risk measure | Wechselkurs | Exchange rate | Schätzung | Estimation | Optionspreistheorie | Option pricing theory | OTC-Handel | OTC market | ARCH-Modell | ARCH model | Regressionsanalyse | Regression analysis | Schätztheorie | Estimation theory | Währungsderivat | Currency derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JRMV.2021.014 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014540547