Guo, Hongtao; Lam, Miranda S.; Wu, Guojun; Xiao, Zhijie - In: The International Journal of Business and Finance Research 7 (2013) 2, pp. 1-15
In this paper we study risk management based on the quantile regression. Unlike the traditional VaR estimation methods …, the quantile regression approach allows for a general treatment on the error distribution and is robust to distributions …. The empirical application show that the quantile regression based method is well suited to handle negative skewness and …