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  • Search: subject:"Non-linear Regression Quantile"
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Year of publication
Subject
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Non-linear Regression Quantile 1 Risk Management 1 Value-at-Risk 1
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Free 1
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Book / Working Paper 1
Language
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English 1
Author
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Kouretas, George 1 Zarangas, Leonidas 1
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Department of Economics, University of Crete 1
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Working Papers / Department of Economics, University of Crete 1
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RePEc 1
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Conditional autoregressive valu at risk by regression quantile: Estimatingmarket risk for major stock markets
Kouretas, George; Zarangas, Leonidas - Department of Economics, University of Crete - 2005
This paper employs a new approach due to Engle and Manganelli (2004) in order to examine market risk in several major equity markets, as well as for major companies listed in New York Stock Exchange and Athens Stock Exchange. By interpreting the VaR as the quantile of future portfolio values...
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