Index-Exciting CAViaR: A New Empirical Time-Varying Risk Model

DOI10.2202/1558-3708.1805zbMath1193.91064OpenAlexW2052715789MaRDI QIDQ3574761

Bai-min Yu, Masao Fukushima, Frank J. Fabozzi, Sergio M. Focardi, Dashan Huang, Zu-di Lu

Publication date: 2 July 2010

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

Full work available at URL: http://hdl.handle.net/2433/131797

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

Practical implications of higher moments in risk management

Uses Software

• CAViaR

Cites Work

• Term structure of risk under alternative econometric specifications