Pages that link to "Item:Q5392692"
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The following pages link to Evaluating Value-at-Risk Models via Quantile Regression (Q5392692):
Displaying 20 items.
- A joint quantile and expected shortfall regression framework (Q62993) (← links)
- A smooth block bootstrap for quantile regression with time series (Q1650073) (← links)
- The uncertainty of conditional returns, volatilities and correlations in DCC models (Q1659110) (← links)
- An exponentially weighted quantile regression via SVM with application to estimating multiperiod VaR (Q2013645) (← links)
- Uniform calibration tests for forecasting systems with small lead time (Q2103980) (← links)
- Bayesian quantile regression with mixed discrete and nonignorable missing covariates (Q2226698) (← links)
- Network quantile autoregression (Q2323385) (← links)
- On the predictive risk in misspecified quantile regression (Q2330755) (← links)
- Markov-switching quantile autoregression: a Gibbs sampling approach (Q2691752) (← links)
- Efficient estimation of financial risk by regressing the quantiles of parametric distributions: an application to CARR models (Q2697030) (← links)
- A new robust inference for predictive quantile regression (Q2697984) (← links)
- On the Measurement of Economic Tail Risk (Q3178757) (← links)
- Semi-parametric Bayesian tail risk forecasting incorporating realized measures of volatility (Q4555071) (← links)
- Forecasting risk via realized GARCH, incorporating the realized range (Q5001146) (← links)
- Semi-parametric expected shortfall forecasting in financial markets (Q5106839) (← links)
- Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution (Q5234329) (← links)
- Conditional VAR and Expected Shortfall: A New Functional Approach (Q5864357) (← links)
- Markov switching quantile autoregression (Q6064121) (← links)
- An Extensive Comparison of Some Well‐Established Value at Risk Methods (Q6088259) (← links)
- A risk measurement study evaluating the impact of COVID-19 on China's financial market using the QR-SGED-EGARCH model (Q6148818) (← links)
