White, Halbert; Kim, Tae-Hwan; Manganelli, Simone - European Central Bank - 2008
Engle and Manganelli (2004) propose CAViaR, a class of models suitable for estimating conditional quantiles in dynamic settings. Engle and Manganelli apply their approach to the estimation of Value at Risk, but this is only one of many possible applications. Here we extend CAViaR models to...
