Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range

Autor: Richard Gerlach, Cathy W. S. Chen, Michael McAleer, Bruce B. K. Hwang

Publikováno v: International Journal of Forecasting, 28(3), 557-574. Elsevier

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)

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5309b5c53120b3813b32862eb18bbb50
https://doi.org/10.1016/j.ijforecast.2011.12.004

Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range

Autor: Chen, Cathy W. S., Gerlach, Richard, Hwang, Bruce B. K., McAleer, Michael

Publikováno v: E-Prints Complutense: Archivo Institucional de la UCM
Universidad Complutense de Madrid
E-Prints Complutense. Archivo Institucional de la UCM
instname

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)

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::8af8564b64d5a628ef17bf9d9c02eefb
https://eprints.ucm.es/id/eprint/12755/

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UNTITLED.

Autor: BRUCE, B. K.

Publikováno v: A.M.E. Zion Church Quarterly; 01/14/1893, Vol. 3 Issue 2, p178-181, 4p

Decreased anxiety in lung transplant recipients.

Autor: Jowsey, S G, Bruce, B K, McGregor, C G

Publikováno v: American Journal of Psychiatry; Apr94, Vol. 151 Issue 4, p617-617, 1p