Evaluating value-at-risk models via quantile regression
Gaglianone, Wagner, Lima, Luiz, Linton, Oliver, & Smith, Daniel (2011) Evaluating value-at-risk models via quantile regression. Journal of Business and Economic Statistics, 29(1), pp. 150-160.
Citation countsare sourced monthly fromand citation databases.
These databases contain citations from different subsets of available publications and different time periods and thus the citation count from each is usually different. Some works are not in either database and no count is displayed. Scopus includes citations from articles published in 1996 onwards, and Web of Science® generally from 1980 onwards.
Citations counts from theindexing service can be viewed at the linked Google Scholar™ search.
|Item Type:||Journal Article|
|Keywords:||Backtesting, Risk exposure|
|Subjects:||Australian and New Zealand Standard Research Classification > MATHEMATICAL SCIENCES (010000) > STATISTICS (010400)|
Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > APPLIED ECONOMICS (140200)
Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > ECONOMETRICS (140300)
|Divisions:||Current > QUT Faculties and Divisions > QUT Business School|
Current > Schools > School of Economics & Finance
|Deposited On:||19 Jul 2012 16:30|
|Last Modified:||03 Dec 2012 12:06|
Repository Staff Only: item control page