Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range
Cathy W. S. Chen; Richard Gerlach; Bruce B. K. Hwang; Michael McAleer
| Year of publication: |
2012
|
|---|---|
| Authors: | Chen, Cathy W. S. ; Gerlach, Richard ; Hwang, Bruce B. K. ; McAleer, Michael |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 28.2012, 3, p. 557-574
|
| Subject: | Regressionsanalyse | Regression analysis | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Nichtlineare Regression | Nonlinear regression | Schätztheorie | Estimation theory |
| 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/10009658352