Conditional autoregressive Value-at-Risk model estimates in financial markets
碩士 === 逢甲大學 === 統計與精算所 === 95 === Value-at-Risk (VaR) forecasting is required by all financial institutions (Basel II). For better VaR estimation, Engle and Manganelli (2004) proposed quantile regression to model VaR directly instead of modeling the underlying volatility generating process. They int...
| Main Authors: | , |
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| Format: | Others |
| Language: | en_US |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/47728487765504579564 |