Details

Title

Robust Estimation in VaR Modelling - Univariate Approaches using Bounded Innovation Propagation and Regression Quantiles Methodology

Journal title

Central European Journal of Economic Modelling and Econometrics

Yearbook

2013

Numer

No 1

Authors

Keywords

Robust estimation ; quantile regression ; CAViaR ; ARMA-GARCH models

Divisions of PAS

Nauki Humanistyczne i Społeczne

Coverage

35-63

Publisher

Oddział PAN w Łodzi

Date

31.03.2013

Type

Artykuły / Articles

Identifier

ISSN - 2080-0886, ISSN online - 2080-119X

DOI

10.24425/cejeme.2013.119252

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