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.
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|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 06:30|
|Last Modified:||03 Dec 2012 02:06|
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