Forecasting value-at-risk using nonlinear regression quantiles and the intra-day range
Cathy W. S. Chen, Richard Gerlach, Bruce B. K. Hwang, and Michael McAleer
| Year of publication: |
2011
|
|---|---|
| Authors: | Chen, Cathy W. S. ; Gerlach, Richard ; Hwang, Bruce B. K. ; McAleer, Michael |
| Publisher: |
Christchurch : Dep. of Economics and Finance, College of Business and Economics, Univ. of Canterbury |
| Subject: | CAViaR model | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Markov-Kette | Markov chain | VAR-Modell | VAR model | Monte-Carlo-Simulation | Monte Carlo simulation | Asien | Asia | 2008-2009 |
| Extent: | Online-Ressource (1, 39 S., 321,83 Kb) graph. Darst. |
|---|---|
| Series: | Working paper. - Christchurch, New Zealand, ZDB-ID 2579761-X. - Vol. 2011,22 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Systemvoraussetzungen: Acrobat Reader |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009011936