The following pages link to CAViaR (Q16600):
Displaying 50 items.
- A joint quantile and expected shortfall regression framework (Q62993) (← links)
- Quantile cointegration in the autoregressive distributed-lag modeling framework (Q82997) (← links)
- Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity (Q114808) (← links)
- Quasi-maximum likelihood estimation for conditional quantiles (Q265018) (← links)
- Bayesian tail risk interdependence using quantile regression (Q273621) (← links)
- Estimation of copula-based semiparametric time series models (Q274894) (← links)
- Markov regime-switching quantile regression models and financial contagion detection (Q282262) (← links)
- The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series (Q284329) (← links)
- The quantilogram: with an application to evaluating directional predictability (Q288359) (← links)
- Validating forecasts of the joint probability density of bond yields: can affine models beat random walk? (Q291853) (← links)
- Artifactual unit root behavior of value at risk (VaR) (Q297153) (← links)
- Nonparametric estimation of conditional VaR and expected shortfall (Q299264) (← links)
- Dynamic quantile models (Q299276) (← links)
- Quantile cointegrating regression (Q302196) (← links)
- Assessing value at risk with CARE, the conditional autoregressive expectile models (Q302198) (← links)
- Granger causality in risk and detection of extreme risk spillover between financial markets (Q302200) (← links)
- Improving the value at risk forecasts: theory and evidence from the financial crisis (Q310964) (← links)
- Testing conditional asymmetry: a residual-based approach (Q310968) (← links)
- Conditional value-at-risk: semiparametric estimation and inference (Q311646) (← links)
- A linearized value-at-risk model with transaction costs and short selling (Q320109) (← links)
- Take it to the limit: innovative CVaR applications to extreme credit risk measurement (Q320976) (← links)
- A smoothing stochastic algorithm for quantile estimation (Q395982) (← links)
- Practical implications of higher moments in risk management (Q413990) (← links)
- Estimation of extreme value-at-risk: an EVT approach for quantile GARCH model (Q485704) (← links)
- VAR for VaR: measuring tail dependence using multivariate regression quantiles (Q494385) (← links)
- Positive semidefinite integrated covariance estimation, factorizations and asynchronicity (Q503579) (← links)
- Elements of nonlinear time series analysis and forecasting (Q516108) (← links)
- Local likelihood density estimation and value-at-risk (Q609720) (← links)
- The economic value of volatility timing using a range-based volatility model (Q609837) (← links)
- A comparison of bootstrap and Monte-Carlo testing approaches to value-at-risk diagnosis (Q650729) (← links)
- Using quantile regression for rate-making (Q659142) (← links)
- Bayesian estimation and inference for log-ACD models (Q736572) (← links)
- Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles (Q736574) (← links)
- Comparison of value-at-risk models using the MCS approach (Q736648) (← links)
- Estimating structural changes in regression quantiles (Q737902) (← links)
- Copula-based regression models: a survey (Q840744) (← links)
- Forecasting daily supermarket sales using exponentially weighted quantile regression (Q857373) (← links)
- Further critique of GARCH/ARMA/VAR/EVT Stochastic-Volatility models and related approaches (Q858848) (← links)
- Intraday value-at-risk: an asymmetric autoregressive conditional duration approach (Q888338) (← links)
- Statistical inference for conditional quantiles in nonlinear time series models (Q888341) (← links)
- Bayesian quantile regression model for claim count data (Q903343) (← links)
- Accurate value-at-risk forecasting based on the normal-GARCH model (Q1010573) (← links)
- Empirical likelihood-based evaluations of value at risk models (Q1044277) (← links)
- Exact inference in diagnosing value-at-risk estimates - a Monte Carlo device (Q1046189) (← links)
- An MCMC approach to classical estimation. (Q1398964) (← links)
- Dynamic portfolio insurance strategies: risk management under Johnson distributions (Q1615814) (← links)
- Nonparametric estimates for conditional quantiles of time series (Q1621960) (← links)
- Bayesian estimation of smoothly mixing time-varying parameter GARCH models (Q1623521) (← links)
- Variance clustering improved dynamic conditional correlation MGARCH estimators (Q1623552) (← links)
- A smooth block bootstrap for quantile regression with time series (Q1650073) (← links)
