Items where Keyword is "CAViaR" (Publications and Working Papers)

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Jeon, Jooyoung and Taylor, James (2013) Using Implied Volatility with CAViaR Models for Value at Risk Estimation. Journal of Forecasting, 32 (1). pp. 62-74. Link to full text available through this repository.


Taylor, James (2017) Forecasting Value at Risk and Expected Shortfall Using a Semiparametric Approach Based on the Asymmetric Laplace Distribution. Journal of Business and Economic Statistics. pp. 1-13.

This list was generated on Sat May 26 21:36:33 2018 WET.