CAViar : conditional value at risk by quantile regression

CAViar : conditional value at risk by quantile regression

Bibliographic Details
Main Author: Engle, Robert F.
Other Authors: Manganelli, Simone
Format: Book
Language:English
Published: Cambridge National Bureau of Economic Research 1999.
Series:NBER working paper series no.7341
Subjects:
Financial futures > Econometric models.
Rate of returns > Forecasting > Econometric models.
Parameter estimation.
Stock price forecsating > Econometric models.