Journal article icon

Journal article

Quantile-based smooth transition value at risk estimation

Abstract:

Value at risk models are concerned with the estimation of conditional quantiles of a time series. Formally, these quantities are a function of conditional volatility and the respective quantile of the innovation distribution. The former is often subject to asymmetric dynamic behaviour, e.g., with respect to past shocks. In this paper, we propose a model in which conditional quantiles follow a generalised autoregressive process governed by two parameter regimes with their weights determined by...

Expand abstract
Publication status:
Published
Peer review status:
Peer reviewed

Actions


Access Document


Files:
Publisher copy:
10.1093/ectj/utz009

Authors


More by this author
Institution:
University of Oxford
Department:
Economics
Department:
ECONOMICS
Role:
Author
Publisher:
Oxford University Press
Journal:
Econometrics Journal More from this journal
Volume:
22
Issue:
3
Pages:
241-261
Publication date:
2019-06-06
Acceptance date:
2019-04-06
DOI:
EISSN:
1368-423X
ISSN:
1368-4221
Language:
English
Keywords:
Pubs id:
pubs:1011182
UUID:
uuid:b65939c8-b2b8-401c-b56a-f3832b3f4d98
Local pid:
pubs:1011182
Source identifiers:
1011182
Deposit date:
2019-06-11

Terms of use


Views and Downloads






If you are the owner of this record, you can report an update to it here: Report update to this record

TO TOP