Yu, Philip; Li, Wai Keung; Jin, Shusong - In: Econometric Reviews 29 (2010) 5-6, pp. 622-641
The idea of statistical learning can be applied in financial risk management. In recent years, value-at-risk (VaR) has become the standard tool for market risk measurement and management. For better VaR estimation, Engle and Manganelli (2004) introduced the conditional autoregressive...