in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density … indices, the regression based evaluation strategy is compared with a recently proposed methodology based on likelihood ratio … tests. It is demonstrated that misspecifications of forecasting models can be detected within the proposed regression …

associated extreme quantile dependence usinglinear and non linear quantile regression approach. Our goal in this paper is … todemonstrate that the relationship between the volatility and market return as quantifiedby Ordinary Least Square (OLS) regression … between price and volatility. In the empiricalanalysis we compare the results from linear quantile regression (LQR) and …