Evaluating Value-at-Risk Models via Quantile Regression

Wagner Gaglianone, Luiz Lima (), Oliver Linton and Daniel Smith ()

Journal of Business & Economic Statistics, 2011, vol. 29, issue 1, 150-160

Date: 2011
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Related works:
Journal Article: Evaluating Value-at-Risk Models via Quantile Regression (2011)
Working Paper: Evaluating Value-at-Risk Models via Quantile Regression (2010)
Working Paper: Evaluating Value-at-Risk models via Quantile Regression (2009)
Working Paper: Evaluating Value-at-Risk Models via Quantile Regressions (2008)
Working Paper: Evaluating Value-at-Risk models via Quantile regressions (2008)
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