Conditional autoregressive valu at risk by regression quantile: Estimatingmarket risk for major stock markets
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More about this item
KeywordsNon-linear Regression Quantile; Value-at-Risk; Risk Management;
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
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