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We propose a semiparametric estimator to determine the effects of explanatory variables on the conditional interquantile expectation (IQE) of the random variable of interest, without specifying the conditional distribution of the underlying random variables. IQE is the expected value of the...
Persistent link: https://www.econbiz.de/10011622915
application to VaR and ES forecasts for daily FTSE 100 index returns as generated by AR-GARCH, AR-GJR-GARCH, and AR-HEAVY models …
Persistent link: https://www.econbiz.de/10012057163