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Evaluating Value-at-Risk models via Quantile RegressionThis is a discussion on Evaluating Value-at-Risk models via Quantile Regression within the Analytic News Feeds forums, part of the Analytics category; AUTHORS Wagner Piazza Gaglianone Luiz Renato Lima Oliver Linton Daniel Smith ABSTRACT This paper is concerned with evaluating value at risk estimates. It is well known that using only binary ... |
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12th February 2010, 03:48 PM
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| Administrator |  Evaluating Value-at-Risk models via Quantile Regression AUTHORS Wagner Piazza Gaglianone Luiz Renato Lima Oliver Linton Daniel Smith ABSTRACT This paper is concerned with evaluating value at risk estimates. It is well known that using only binary variables, such as whether or not there was an exception, sacrifices too much information. However, most of the specification tests (also called backtests) available … More blog entries from AnalyticBridge... |
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