Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range
| 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 283943x. - Vol. 28.2012, 3, p. 557-575
|