Chen, C.W.S.; Gerlach, R.; Hwang, B.B.K.; McAleer, M.J. - Erasmus University Rotterdam, Econometric Institute - 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 autoregressive VaR (CAViar) models that incorporate intra-day price...