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Dynamic Quantile Models
Year Of Publication: 2005
Month Of Publication: November
Pages: 48
Download Count: 533
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Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 5-29-2006
Publisher: Administrator
Summary
This paper introduces new dynamic quantile models for univariate series and panel data. The Dynamic Addititve Quantile can be used for computation of Value at Risk. The Quantile Factor Model is a multivariate model for applications to portfolio returns. The estimation method proposed in the paper relies on the inverse KLIC measure.
Author(s)
Gourieroux, Christian Sign in to follow this author
Jasiak, Joann Sign in to follow this author
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