Evaluating Value-at-Risk Models via Quantile Regression
Year of publication: |
2010-11-05
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Authors: | Gaglianone, Wagner Piazza ; Lima, Luiz Renato ; Linton, Oliver ; Smith, Daniel |
Institutions: | National Centre for Econometric Research (NCER) |
Subject: | Value-at-Risk | Backtesting | Quantile Regression |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | forthcoming Number 67 27 pages |
Classification: | C12 - Hypothesis Testing ; C14 - Semiparametric and Nonparametric Methods ; C52 - Model Evaluation and Testing ; G11 - Portfolio Choice |
Source: |
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