Xu, Qing; Childs, Terry - In: Applied Financial Economics 23 (2013) 2, pp. 105-117
In this research, we compare the one-step-ahead out-of-sample forecast performances of the linear Quantile Autoregression (QAR) model as well as the latest sophisticated nonlinear copula-based QAR models for four daily equity index returns during the current financial tumultuous period. In...