Using CAViaR Models with Implied Volatility for Value‐at‐Risk Estimation

DOI10.1002/FOR.1251zbMath1397.91602OpenAlexW1605981853MaRDI QIDQ4687309

James W. Taylor, Joo Young Jeon

Publication date: 11 October 2018

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://strathprints.strath.ac.uk/39598/

zbMATH Keywords

quantile regressionmarket riskcombiningmaximum potential loss

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; risk measures (91G70)

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