Evaluating value-at-risk models via quantile regression

Autoria(s): Gaglianone, Wagner; Lima, Luiz; Linton, Oliver; Smith, Daniel
Data(s)

2011
Identificador

http://eprints.qut.edu.au/52444/
Publicador

American Statistical Association
Relação

DOI:10.1198/jbes.2010.07318

Gaglianone, Wagner, Lima, Luiz, Linton, Oliver, & Smith, Daniel (2011) Evaluating value-at-risk models via quantile regression. Journal of Business and Economic Statistics, 29(1), pp. 150-160.
Fonte

QUT Business School; School of Economics & Finance
Palavras-Chave #010400 STATISTICS #140200 APPLIED ECONOMICS #140300 ECONOMETRICS #Backtesting, Risk exposure
Tipo

Journal Article
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