Add to ORKGValue-at-Risk (VaR) has become the universally accepted metric adopted internationally under the Basel Accords for banking industry internal control and for regulatory reporting. This has focused attention on methods of measuring, estimating and forecasting lower tail risk. One promising technique is Quantile Regression which holds the promise of efficiently calculating (VAR). To this end, Engle and Manganelli in (2004) developed their CAViaR model (Conditional Autoregressive Value at Risk). In this paper we apply their model to Australian Stock Market indices and a sample of stocks, and test the efficacy of four different specifications of the model in a set of in and out of sample tests. We also contrast the results with those obtained fr...
We compared different newer models (e.g. CAViaR and one of the most recent approaches HAR-QREG) to t...
As the most used risk measure, Value at Risk allows for the expression of the market risk associat...
Value-at-Risk (VaR) is commonly used for financial risk measurement. It has recently become even mor...
Value-at-Risk (VaR) has become the universally accepted metric adopted internationally under the Bas...
The idea of statistical learning can be applied in financial risk management. In recent years, value...
The aim of the research is to compare VaR methods/models for commodities. For risk measurement Condi...
Value at Risk (VaR) has become the standard measure of market risk employed by financial institution...
Value-at-Risk (VaR) is commonly used for financial risk measurement. It has recently become even mor...
Instead of assuming the distribution of return series, Engle and Manganelli (2004) propose a new Val...
Instead of assuming the distribution of return series, Engle and Manganelli (2004) propose a new Val...
The Global Financial Crisis triggered a revision of the VaR based Basel II market risk framework to ...
Value-at-Risk (VaR) is commonly used for financial risk measurement. It has recently become even mor...
This paper analyzes the predictive performance of the Conditional Autoregressive Value at Risk (CAVi...
This study focuses on the credit risk of Australian financial institutions relative to that of the U...
This paper proposes value‐at risk (VaR) estimation methods that are a synthesis of conditional autor...
We compared different newer models (e.g. CAViaR and one of the most recent approaches HAR-QREG) to t...
As the most used risk measure, Value at Risk allows for the expression of the market risk associat...
Value-at-Risk (VaR) is commonly used for financial risk measurement. It has recently become even mor...
Value-at-Risk (VaR) has become the universally accepted metric adopted internationally under the Bas...
The idea of statistical learning can be applied in financial risk management. In recent years, value...
The aim of the research is to compare VaR methods/models for commodities. For risk measurement Condi...
Value at Risk (VaR) has become the standard measure of market risk employed by financial institution...
Value-at-Risk (VaR) is commonly used for financial risk measurement. It has recently become even mor...
Instead of assuming the distribution of return series, Engle and Manganelli (2004) propose a new Val...
Instead of assuming the distribution of return series, Engle and Manganelli (2004) propose a new Val...
The Global Financial Crisis triggered a revision of the VaR based Basel II market risk framework to ...
Value-at-Risk (VaR) is commonly used for financial risk measurement. It has recently become even mor...
This paper analyzes the predictive performance of the Conditional Autoregressive Value at Risk (CAVi...
This study focuses on the credit risk of Australian financial institutions relative to that of the U...
This paper proposes value‐at risk (VaR) estimation methods that are a synthesis of conditional autor...
We compared different newer models (e.g. CAViaR and one of the most recent approaches HAR-QREG) to t...
As the most used risk measure, Value at Risk allows for the expression of the market risk associat...
Value-at-Risk (VaR) is commonly used for financial risk measurement. It has recently become even mor...