McAleer, Michael; Chen, Cathy W. S.; Gerlach, Richard; … - Facultad de Ciencias Económicas y Empresariales, … - 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 pro- pose some novel nonlinear threshold conditional autoregressive VaR (CAViaR) models that incorporate intra-day price...