CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles
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- Robert Engle & Simone Manganelli, 2000. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," Econometric Society World Congress 2000 Contributed Papers 0841, Econometric Society.
- Engle, Robert F & Manganelli, Simone, 1999. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," University of California at San Diego, Economics Working Paper Series qt06m3d6nv, Department of Economics, UC San Diego.
References listed on IDEAS
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- Newey, Whitney K. & Powell, James L., 1990. "Efficient Estimation of Linear and Type I Censored Regression Models Under Conditional Quantile Restrictions," Econometric Theory, Cambridge University Press, vol. 6(03), pages 295-317, September.
- Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
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"Beyond the Sample: Extreme Quantile and Probability Estimation,"
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- Jón Daníelsson & Casper G. de Vries, 1998. "Beyond the Sample: Extreme Quantile and Probability Estimation," Tinbergen Institute Discussion Papers 98-016/2, Tinbergen Institute.
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- Granger, C. W. J. & White, Halbert & Kamstra, Mark, 1989. "Interval forecasting : An analysis based upon ARCH-quantile estimators," Journal of Econometrics, Elsevier, vol. 40(1), pages 87-96, January.
- Powell, James L., 1986. "Censored regression quantiles," Journal of Econometrics, Elsevier, vol. 32(1), pages 143-155, June.
- Engle, Robert F & Ng, Victor K, 1993.
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- Christoffersen, Peter F, 1998. "Evaluating Interval Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 841-862, November.
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- Andrews, Donald W. K., 1987. "Laws of Large Numbers for Dependent Non-Identically Distributed Random Variables," Working Papers 645, California Institute of Technology, Division of the Humanities and Social Sciences.
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