Chen, Cathy W.S.; Gerlach, Richard; Hwang, Bruce B.K.; … - In: International Journal of Forecasting 28 (2012) 3, pp. 557-574
Some novel nonlinear threshold conditional autoregressive VaR (CAViaR) models are proposed that incorporate intra-day price ranges. Model estimation is performed using a Bayesian approach via the link with the Skewed–Laplace distribution. The performances of a range of risk models during the...