Evaluating value-at-risk models via quantile regression

Journal of Business and Economic Statistics

Volumn 29, Issue 1, 2011, Pages 150-160

  Gaglianone, Wagner Piazza ^a   Lima, Luiz Renato ^b,c   Linton, Oliver ^d   Smith, Daniel R ^e,f  

^a BANCO CENTRAL DO BRASIL   (Brazil)

^b UNIVERSITY OF TENNESSEE   (United States)

^c EPGE FGV   (United States)

^d LONDON SCHOOL OF ECONOMICS   (United Kingdom)

^e SIMON FRASER UNIVERSITY   (Canada)

^f QUEENSLAND UNIVERSITY OF TECHNOLOGY   (Australia)

Author keywords

Backtesting; Risk exposure

Indexed keywords

EID: 78449251719     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/jbes.2010.07318     Document Type: Article

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