Crossing penalised CAViaR

Tibor Szendrei

Papers from arXiv.org

Abstract: Dynamic quantiles, or Conditional Autoregressive Value at Risk (CAViaR) models, have been extensively studied at the individual level. However, efforts to estimate multiple dynamic quantiles jointly have been limited. Existing approaches either sequentially estimate fitted quantiles or impose restrictive assumptions on the data generating process. This paper fills this gap by proposing an objective function for the joint estimation of all quantiles, introducing a crossing penalty to guide the process. Monte Carlo experiments and an empirical application on the FTSE100 validate the effectiveness of the method, offering a flexible and robust approach to modelling multiple dynamic quantiles in time-series data.

Date: 2025-01
New Economics Papers: this item is included in nep-ecm and nep-rmg
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