Efficient estimation of financial risk by regressing the quantiles of parametric distributions: an application to CARR models

DOI10.1515/snde-2017-0012OpenAlexW2891292858WikidataQ129288987 ScholiaQ129288987MaRDI QIDQ2697030

Kok-Haur Ng, M. Shelton Peiris, Thanakorn Nitithumbundit, Jennifer So-Kuen Chan

Publication date: 17 April 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2017-0012

zbMATH Keywords

volatility modeltail conditional expectationconditional autoregressive range modelgeneralised beta type two distributiongeneralised-t distributionparametric quantile regression

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (1)

Modelling and forecasting stock volatility and return: a new approach based on quantile Rogers-Satchell volatility measure with asymmetric bilinear CARR model

Uses Software

• CAViaR

Cites Work

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