Search Results - subject:"CAViaR model"

CAViaR model selection via adaptive lasso

Cai, Zongwu; Fang, Ying; Tian, Dingshi - 2024

Persistent link: https://www.econbiz.de/10014521035

Tail risk spillovers among Chinese stock market sectors

Ouyang, Minhua; Xiao, Hailian - In: Finance research letters 62 (2024) 2, pp. 1-9

Persistent link: https://www.econbiz.de/10014531159

Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intraday Range

McAleer, Michael; Chen, Chen, C.W.S.; Gerlach, Gerlach, R. - Faculteit der Economische Wetenschappen, Erasmus … - 2011

of risk models. The proposed threshold CAViaR model, incorporating range information, is shown to forecast VaR more …

Persistent link: https://www.econbiz.de/10010734029

Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range

McAleer, Michael; Chen, Cathy W. S.; Gerlach, Richard; … - Facultad de Ciencias Económicas y Empresariales, … - 2011

forecasting performance of a variety of risk models. The proposed threshold CAViaR model, incorporating range information, is …

Persistent link: https://www.econbiz.de/10009141357

Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intraday Range

Chen, C.W.S.; Gerlach, R.; Hwang, B.B.K.; McAleer, M.J. - Erasmus University Rotterdam, Econometric Institute - 2011

of risk models. The proposed threshold CAViaR model, incorporating range information, is shown to forecast VaR more …

Persistent link: https://www.econbiz.de/10009150025

Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range

Chen, Cathy W. S.; Gerlach, Richard; Hwang, Bruce B. K.; … - Institute of Economic Research, Kyoto University - 2011

forecasting performance of a variety of risk models. The proposed threshold CAViaR model, incorporating range information, is …

Persistent link: https://www.econbiz.de/10009018856

Forecasting value-at-risk using nonlinear regression quantiles and the intra-day range

Chen, Cathy W. S.; Gerlach, Richard; Hwang, Bruce B. K.; … - 2011

Persistent link: https://www.econbiz.de/10009011936

Forecasting value-at-risk using nonlinear regression quantiles and the intraday range

Chen, Cathy W. S.; Gerlach, Richard; Hwang, Bruce B. K.; … - 2011 - Rev.

Persistent link: https://www.econbiz.de/10009619366

Bayesian time-varying quantile forecasting for Value-at-Risk in financial markets

Gerlach, Richard; Chen, Cathy W.S.; Chan, Nancy Y. C. - Business School, University of Sydney - 2009

Recently, Bayesian solutions to the quantile regression problem, via the likeli-hood of a Skewed-Laplace distribution, have been proposed. These approaches are extended and applied to a family of dynamic conditional autoregressive quantile models. Popular Value at Risk models, used for risk...

Persistent link: https://www.econbiz.de/10010533715

Bayesian time-varying quantile forecasting for Value-at-Risk in financial markets

Chan, Nancy Y. C.; Chen, Cathy W.S.; Gerlach, Richard - Business School, University of Sydney - 2009

Recently, Bayesian solutions to the quantile regression problem, via the likelihood of a Skewed-Laplace distribution, have been proposed. These approaches are extended and applied to a family of dynamic conditional autoregressive quantile models. Popular Value at Risk models, used for risk...

Persistent link: https://www.econbiz.de/10010699863