Evaluating forecast performances of the quantile autoregression models in the present global crisis in international equity markets

Applied Financial Economics

Volumn 23, Issue 2, 2013, Pages 105-117

  Xu, Qing ^a   Childs, Terry ^a  

^a FONTERRA RESEARCH CENTRE   (New Zealand)

Author keywords

Archimedean copula; linear quantile autoregression; nonlinear quantile autoregression; value at risk

Indexed keywords

FINANCIAL CRISIS; FINANCIAL MARKET; FORECASTING METHOD; GLOBALIZATION; NUMERICAL MODEL; PERFORMANCE ASSESSMENT; REGRESSION ANALYSIS;

EID: 84866464896     PISSN: 09603107     EISSN: 14664305     Source Type: Journal    
DOI: 10.1080/09603107.2012.709601     Document Type: Article

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