Chung-Hua Series of Lectures, No. 27-CARiaR: Conditional Autoregressive Value-at-Risk By Regression Quantiles

Joseph P. Newhouse

Published by Institute of Economics, Academia, 2001
/ Condition: Fine / Soft cover
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Title: Chung-Hua Series of Lectures, No. 27-CARiaR:...

Publisher: Institute of Economics, Academia

Publication Date: 2001

Binding: Paperback

Book Condition: Fine

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Publisher: Institute of Economics, Academia Sinica Date of Publication: 2001 Binding: soft cover Edition: First Printing Condition: As New Description: Unread copy. No markings in book. From the Abstract: Despite its conceptual simplicity, its measurement is a very challenging statistical problem and none of the methodologies developed so far give satisfactory solutions. We propose a new approach to quantile estimation which does not require any of the extreme assumptions invoked by existing methodologies. The Conditional Autoregressive Value-at-Risk or CAViaR model moves the focus of attention from the distribution of returns directly to the behavior of the quantile, etc. 49pp. Bookseller Inventory # 0015832

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