Clements, Michael P.; Galvão, Ana Beatriz; Kim, Jae H. - In: Journal of Empirical Finance 15 (2008) 4, pp. 729-750
Quantile forecasts are central to risk management decisions because of the widespread use of Value-at-Risk. A quantile forecast is the product of two factors: the model used to forecast volatility, and the method of computing quantiles from the volatility forecasts. In this paper we calculate...