Quantile-based smooth transition value at risk estimation

Stefan Hubner and Pavel Čížek

Year of publication:	2019
Authors:	Hubner, Stefan ; Čížek, Pavel
Subject:	CAViaR \| composite quantile regression \| conditional quantiles \| GARCH \| regime switching \| smooth transition \| sieve estimation \| Risikomaß \| Risk measure \| Schätzung \| Estimation \| ARCH-Modell \| ARCH model \| Schätztheorie \| Estimation theory \| Regressionsanalyse \| Regression analysis \| Volatilität \| Volatility \| Zeitreihenanalyse \| Time series analysis \| Aktienindex \| Stock index \| Nichtparametrisches Verfahren \| Nonparametric statistics

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