Index-Exciting CAViaR: A New Empirical Time-Varying Risk Model
Instead of assuming the distribution of return series, Engle and Manganelli (2004) propose a new Value-at-Risk (VaR) modeling approach, Conditional Autoregressive Value-at-Risk (CAViaR), to directly compute the quantile of an individual asset's returns which performs better in many cases than t...
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Main Authors: | Dashan HUANG, YU, Baimin, LU, Zudi, FOCARDI, Sergio, FABOZZI, Frank, FUKUSHIMA, Masao |
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Format: | text |
Language: | English |
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Institutional Knowledge at Singapore Management University
2010
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Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/4781 https://ink.library.smu.edu.sg/context/lkcsb_research/article/5780/viewcontent/HuangD_IndexExcitingCaviar_PubVer.pdf |
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Institution: | Singapore Management University |
Language: | English |
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