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CAViaR: Conditional Value at Risk by Quantile Regression

Citations

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Cited by:

  1. Charle Augusto Llondono, 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, vol. 29(64), pages 62-109, July.
  2. Michael Rockinger & Eric Jondeau, 2001. "Conditional Dependency of Financial Series: An Application of Copulas," Working Papers hal-00601478, HAL.
  3. 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.
  4. Bollerslev, Tim, 2001. "Financial econometrics: Past developments and future challenges," Journal of Econometrics, Elsevier, vol. 100(1), pages 41-51, January.
  5. 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.
  6. 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.
  7. Guidolin, Massimo & Timmermann, Allan, 2006. "Term structure of risk under alternative econometric specifications," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 285-308.
  8. 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.
  9. G'abor Petneh'azi, 2019. "Quantile Convolutional Neural Networks for Value at Risk Forecasting," Papers 1908.07978, arXiv.org, revised Sep 2020.
  10. 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.
  11. 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.
  12. 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.
  13. Kritski, Oleg & Ulyanova, Marina, 2007. "Assessment of Multivariate Financial Risks of a Stock Share Portfolio," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 8(4), pages 3-17.
  14. 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.
  15. 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.
  16. Charles-Olivier Amédée-Manesme & Fabrice Barthélémy, 2022. "Proper use of the modified Sharpe ratios in performance measurement: rearranging the Cornish Fisher expansion," Annals of Operations Research, Springer, vol. 313(2), pages 691-712, June.
  17. 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.
  18. 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.
  19. Kudryavtsev, Andrey A., 2009. "Using quantile regression for rate-making," Insurance: Mathematics and Economics, Elsevier, vol. 45(2), pages 296-304, October.
  20. Amiri , Hossein & Najafi Nejad , Mahmood & Mousavi , Seyede Mohadese, 2021. "Estimation of Value at Risk (VaR) Based On Lévy-GARCH Models: Evidence from Tehran Stock Exchange," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 16(2), pages 165-186, June.
  21. 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.
  22. 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.
  23. 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.
  24. Bruzda, Joanna, 2019. "Quantile smoothing in supply chain and logistics forecasting," International Journal of Production Economics, Elsevier, vol. 208(C), pages 122-139.
  25. Engle, Robert F. & Manganelli, Simone, 2001. "Value at risk models in finance," Working Paper Series 75, European Central Bank.
  26. Szymon Lis & Marcin Chlebus, 2021. "Comparison of the accuracy in VaR forecasting for commodities using different methods of combining forecasts," Working Papers 2021-11, Faculty of Economic Sciences, University of Warsaw.
  27. 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.
  28. 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.
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