Now showing items 1-1 of 1

    • Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range 

      Chen, C.W.S.; Gerlach, R.; Hwang, B.B.K.; McAleer, M. (College of Business and EconomicsUniversity of Canterbury. Department of Economics and Finance, 2011)
      Value-at-Risk (VaR) is commonly used for financial risk measurement. It has recently become even more important, especially during the 2008-09 global financial crisis. We propose some novel nonlinear threshold conditional ...