McAleer, Michael; Chen, Cathy W. S.; Gerlach, Richard; … - Facultad de Ciencias Económicas y Empresariales, … - 2011
(CAViaR) models that incorporate intra-day price ranges. Model estimation and inference are performed using the Bayesian … forecasting performance of a variety of risk models. The proposed threshold CAViaR model, incorporating range information, is …