CAViaR: Conditional Value at Risk by Quantile Regression
Download full text from publisher
References listed on IDEAS
- 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(3), pages 295-317, September.
- 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.
- Jón Daníelsson & Casper G. de Vries, 1998.
"Beyond the Sample: Extreme Quantile and Probability Estimation,"
Tinbergen Institute Discussion Papers
98-016/2, Tinbergen Institute.
- Jon Danielsson & Casper G. de Vries, 1998. "Beyond the Sample: Extreme Quantile and Probability Estimation," FMG Discussion Papers dp298, Financial Markets Group.
- 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.
- Powell, James L., 1984. "Least absolute deviations estimation for the censored regression model," Journal of Econometrics, Elsevier, vol. 25(3), pages 303-325, July.
- White, Halbert & Domowitz, Ian, 1984. "Nonlinear Regression with Dependent Observations," Econometrica, Econometric Society, vol. 52(1), pages 143-161, January.
- Engle, Robert F & Ng, Victor K, 1993.
" Measuring and Testing the Impact of News on Volatility,"
Journal of Finance,
American Finance Association, vol. 48(5), pages 1749-1778, December.
- Robert F. Engle & Victor K. Ng, 1991. "Measuring and Testing the Impact of News on Volatility," NBER Working Papers 3681, National Bureau of Economic Research, Inc.
- Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
- Weiss, Andrew A., 1991. "Estimating Nonlinear Dynamic Models Using Least Absolute Error Estimation," Econometric Theory, Cambridge University Press, vol. 7(1), pages 46-68, March.
- Powell, James L., 1986. "Censored regression quantiles," Journal of Econometrics, Elsevier, vol. 32(1), pages 143-155, June.
- repec:cup:etheor:v:7:y:1991:i:1:p:46-68 is not listed on IDEAS
- repec:cup:etheor:v:6:y:1990:i:3:p:295-317 is not listed on IDEAS
- Andrews, Donald W.K., 1988.
"Laws of Large Numbers for Dependent Non-Identically Distributed Random Variables,"
Cambridge University Press, vol. 4(3), pages 458-467, December.
- 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.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Charle Augusto Llondoño, 2011.
"Regresión del cuantil aplicada al modelo de redes neuronales artificiales. Una aproximación de la estructura CAVIAR para el mercado de valores colombiano,"
Revista ESPE - Ensayos Sobre Política Económica,
Banco de la República - ESPE, vol. 29(64), pages 62-109, July.
- Charle Augusto Londoño, 2011. "Regresión del cuantil aplicada al modelo de redes neuronales artificiales," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 29(64), pages 62-109, July.
- Engle, Robert F. & Manganelli, Simone, 2001. "Value at risk models in finance," Working Paper Series 0075, European Central Bank.
- Michael Rockinger & Eric Jondeau, 2001.
"Conditional Dependency of Financial Series: An Application of Copulas,"
- Rockinger, M. & Jondeau, E., 2001. "Conditional Dependency of Financial Series: An Application of Copulas," Working papers 82, Banque de France.
- ROCKINGER, Michael & JONDEAU, Eric, 2001. "Conditional dependency of financial series : an application of copulas," HEC Research Papers Series 723, HEC Paris.
- Rossi, E. & Spazzini, F., 2010.
"Model and distribution uncertainty in multivariate GARCH estimation: A Monte Carlo analysis,"
Computational Statistics & Data Analysis,
Elsevier, vol. 54(11), pages 2786-2800, November.
- Rossi, Eduardo & Spazzini, Filippo, 2008. "Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis," MPRA Paper 12260, University Library of Munich, Germany.
- Bollerslev, Tim, 2001. "Financial econometrics: Past developments and future challenges," Journal of Econometrics, Elsevier, vol. 100(1), pages 41-51, January.
- Aloui, Chaker & Hamida, Hela ben, 2014. "Modelling and forecasting value at risk and expected shortfall for GCC stock markets: Do long memory, structural breaks, asymmetry, and fat-tails matter?," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 349-380.
- Trino-Manuel Ñíguez, 2008. "Volatility and VaR forecasting in the Madrid Stock Exchange," Spanish Economic Review, Springer;Spanish Economic Association, vol. 10(3), pages 169-196, September.
- Guidolin, Massimo & Timmermann, Allan, 2006.
"Term structure of risk under alternative econometric specifications,"
Journal of Econometrics,
Elsevier, vol. 131(1-2), pages 285-308.
- Guidolin, Massimo & Timmermann, Allan G, 2004. "Term Structure of Risk Under Alternative Econometric Specifications," CEPR Discussion Papers 4645, C.E.P.R. Discussion Papers.
- Massimo Guidolin & Allan Timmerman, 2005. "Term structure of risk under alternative econometric specifications," Working Papers 2005-001, Federal Reserve Bank of St. Louis.
- Marcelo Bianconi & Joe A. Yoshino, 2012. "Worldwide Commodities Sector Market-To-Book and Return on Equity Valuation," Discussion Papers Series, Department of Economics, Tufts University 0772, Department of Economics, Tufts University.
- Liu, Qingfu & An, Yunbi, 2014. "Risk contributions of trading and non-trading hours: Evidence from Chinese commodity futures markets," Pacific-Basin Finance Journal, Elsevier, vol. 30(C), pages 17-29.
- Stelios Bekiros & Nikolaos Loukeris & Iordanis Eleftheriadis & Christos Avdoulas, 2019. "Tail-Related Risk Measurement and Forecasting in Equity Markets," Computational Economics, Springer;Society for Computational Economics, vol. 53(2), pages 783-816, February.
- Sandrine Lardic & Valérie Mignon, 2004. "Robert F. Engle et Clive W.J. Granger prix Nobel d'économie 2003," Revue d'économie politique, Dalloz, vol. 114(1), pages 1-15.
- Kritski, Oleg & Ulyanova, Marina, 2007. "Assessment of Multivariate Financial Risks of a Stock Share Portfolio," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 8(4), pages 3-17.
- Simone Manganelli & Lorenzo Cappiello & Bruno Gerard, 2004. "The Contagion Box: Measuring Co-Movements in Financial Markets by Regression Quantiles," Econometric Society 2004 Latin American Meetings 77, Econometric Society.
- Marco Bee & Fabrizio Miorelli, 2010. "Dynamic VaR models and the Peaks over Threshold method for market risk measurement: an empirical investigation during a financial crisis," Department of Economics Working Papers 1009, Department of Economics, University of Trento, Italia.
- Stavroyiannis, S. & Makris, I. & Nikolaidis, V. & Zarangas, L., 2012. "Econometric modeling and value-at-risk using the Pearson type-IV distribution," International Review of Financial Analysis, Elsevier, vol. 22(C), pages 10-17.
- Eric Jondeau & Michael Rockinger, 2002. "Conditional Dependency of Financial Series: The Copula-GARCH Model," FAME Research Paper Series rp69, International Center for Financial Asset Management and Engineering.
- Kudryavtsev, Andrey A., 2009. "Using quantile regression for rate-making," Insurance: Mathematics and Economics, Elsevier, vol. 45(2), pages 296-304, October.
- Cummins, J. David & Lalonde, David & Phillips, Richard D., 2004.
"The basis risk of catastrophic-loss index securities,"
Journal of Financial Economics,
Elsevier, vol. 71(1), pages 77-111, January.
- J. David Cummins & David Lalonde & Richard D. Phillips, 2000. "The Basis Risk of Catastrophic-Loss Index Securities," Center for Financial Institutions Working Papers 00-22, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Michelle L. Barnes & Anthony W. Hughes, 2002. "A quantile regression analysis of the cross section of stock market returns," Working Papers 02-2, Federal Reserve Bank of Boston, revised 2002.
- Hongtao Guo & Miranda S. Lam & Guojun Wu & Zhijie Xiao, 2013. "Risk Analysis Using Regression Quantiles: Evidence from International Equity Markets," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 7(2), pages 1-15.
- Bruzda, Joanna, 2019. "Quantile smoothing in supply chain and logistics forecasting," International Journal of Production Economics, Elsevier, vol. 208(C), pages 122-139.
- Engle, Robert F. & Manganelli, Simone, 2001. "Value at risk models in finance," Working Paper Series 75, European Central Bank.
- Ming-Yuan Leon Li & Hsiou-wei William Lin, 2004. "Estimating value-at-risk via Markov switching ARCH models - an empirical study on stock index returns," Applied Economics Letters, Taylor & Francis Journals, vol. 11(11), pages 679-691.
- Costello, Alexandra & Asem, Ebenezer & Gardner, Eldon, 2008. "Comparison of historically simulated VaR: Evidence from oil prices," Energy Economics, Elsevier, vol. 30(5), pages 2154-2166, September.
More about this item
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
NEP fieldsThis paper has been announced in the following NEP Reports:
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:nbr:nberwo:7341. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (). General contact details of provider: http://edirc.repec.org/data/nberrus.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.