Showing 1 - 7 of 7
Value-at-Risk (VaR) is commonly used for financial risk measurement. It has recently become even more important, especially during the 2008-09 global financial crisis. We propose some novel nonlinear threshold conditional autoregressive VaR (CAViaR) models that incorporate intra-day price...
Persistent link: https://www.econbiz.de/10009024435
Value-at-Risk (VaR) is commonly used for financial risk measurement. It has recently become even more important, especially during the 2008-09 global financial crisis. We pro- pose some novel nonlinear threshold conditional autoregressive VaR (CAViaR) models that incorporate intra-day price...
Persistent link: https://www.econbiz.de/10009141357
Value-at-Risk (VaR) is commonly used for financial risk measurement. It has recently become even more important, especially during the 2008-09 global financial crisis. We pro- pose some novel nonlinear threshold conditional autoregressive VaR (CAViaR) models that incorporate intra-day price...
Persistent link: https://www.econbiz.de/10009018856
Persistent link: https://www.econbiz.de/10009011936
Persistent link: https://www.econbiz.de/10009619366
Persistent link: https://www.econbiz.de/10015108416
Persistent link: https://www.econbiz.de/10014304842