Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range

✍ Scribed by Cathy W.S. Chen; Richard Gerlach; Bruce B.K. Hwang; Michael McAleer

• Book ID: 113648251
• Publisher: Elsevier Science
• Year: 2012
• Tongue: English
• Weight: 605 KB
• Volume: 28
• Category: Article
• ISSN: 0169-2070
• DOI: 10.1016/j.ijforecast.2011.12.004