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- W1528260026 abstract "In this paper we study risk management based on the quantile regression. Unlike the traditional VaR estimation methods, the quantile regression approach allows for a general treatment on the error distribution and is robust to distributions with heavy tails. We estimate the VaRs of five international equity indexes based on AR-ARCH model via quantile regressions. The empirical application show that the quantile regression based method is well suited to handle negative skewness and heavy tails in stock return time series." @default.
- W1528260026 created "2016-06-24" @default.
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- W1528260026 date "2013-01-01" @default.
- W1528260026 modified "2023-09-22" @default.
- W1528260026 title "Risk Analysis Using Regression Quantiles: Evidence from International Equity Markets" @default.
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