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

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Number of items: 2.

J

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.
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T

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.
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This list was generated on Tue Sep 26 15:24:36 2017 WEST.