Lee, Tae-Hwy; Bao, Yong; Saltoglu, Burak - In: Journal of Forecasting 25 (2006) 2, pp. 101-128
We investigate the predictive performance of various classes of value-at-risk (VaR) models in several dimensions-unfiltered versus filtered VaR models, parametric versus nonparametric distributions, conventional versus extreme value distributions, and quantile regression versus inverting the...