TY  - RPRT
AU  - Chen, Cathy W. S.
AU  - Gerlach, Richard
AU  - Hwang, Bruce B. K.
AU  - McAleer, Michael
PY  - 2011
UR  - https://hdl.handle.net/20.500.14352/49004
AB  - Value-at-Risk (VaR) is commonly used for financial risk measurement. It has recently become even more important, especially during the 2008-09 global financial crisis. We pro-pose some novel nonlinear threshold conditional autoregressive VaR (CAViaR)...
LA  - eng
KW  - Value-at-Risk
KW  - CAViaR model
KW  - Skewed-Laplace distribution
KW  - Intra-day range
KW  - Backtesting
KW  - Markov chain Monte Carlo.
TI  - Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range
TY  - technical report
VL  - 2011
ER  -