Matches in SemOpenAlex for { <https://semopenalex.org/work/W2405313514> ?p ?o ?g. }
Showing items 1 to 70 of
70
with 100 items per page.
- W2405313514 abstract "Value-at-Risk (VaR) is an institutional measure of risk favored by financial regulators. VaR may be interpreted as a quantile of future portfolio values conditional on the information available, where the most common quantile used is 95%. Here we demonstrate Conditional Autoregressive Value at Risk, first introduced by Engle, Manganelli (2001). CAViaR suggests that negative/positive returns are not i.i.d., and that there is significant autocorrelation. The model is tested using data from 1986- 1999 and 1999-2009 for GM, IBM, XOM, SPX, and then validated via the dynamic quantile test. Results suggest that the tails (upper/lower quantile) of a distribution of returns behave differently than the core." @default.
- W2405313514 created "2016-06-24" @default.
- W2405313514 creator A5053860940 @default.
- W2405313514 date "2016-03-05" @default.
- W2405313514 modified "2023-09-27" @default.
- W2405313514 title "Value-at-Risk: The Effect of Autoregression in a Quantile Process" @default.
- W2405313514 cites W2029067008 @default.
- W2405313514 cites W2094006360 @default.
- W2405313514 cites W3123118666 @default.
- W2405313514 hasPublicationYear "2016" @default.
- W2405313514 type Work @default.
- W2405313514 sameAs 2405313514 @default.
- W2405313514 citedByCount "0" @default.
- W2405313514 crossrefType "posted-content" @default.
- W2405313514 hasAuthorship W2405313514A5053860940 @default.
- W2405313514 hasConcept C10138342 @default.
- W2405313514 hasConcept C105795698 @default.
- W2405313514 hasConcept C106159729 @default.
- W2405313514 hasConcept C118671147 @default.
- W2405313514 hasConcept C149782125 @default.
- W2405313514 hasConcept C159877910 @default.
- W2405313514 hasConcept C162324750 @default.
- W2405313514 hasConcept C2776291640 @default.
- W2405313514 hasConcept C2780821815 @default.
- W2405313514 hasConcept C32896092 @default.
- W2405313514 hasConcept C33923547 @default.
- W2405313514 hasConcept C5297727 @default.
- W2405313514 hasConcept C63817138 @default.
- W2405313514 hasConcept C94128290 @default.
- W2405313514 hasConceptScore W2405313514C10138342 @default.
- W2405313514 hasConceptScore W2405313514C105795698 @default.
- W2405313514 hasConceptScore W2405313514C106159729 @default.
- W2405313514 hasConceptScore W2405313514C118671147 @default.
- W2405313514 hasConceptScore W2405313514C149782125 @default.
- W2405313514 hasConceptScore W2405313514C159877910 @default.
- W2405313514 hasConceptScore W2405313514C162324750 @default.
- W2405313514 hasConceptScore W2405313514C2776291640 @default.
- W2405313514 hasConceptScore W2405313514C2780821815 @default.
- W2405313514 hasConceptScore W2405313514C32896092 @default.
- W2405313514 hasConceptScore W2405313514C33923547 @default.
- W2405313514 hasConceptScore W2405313514C5297727 @default.
- W2405313514 hasConceptScore W2405313514C63817138 @default.
- W2405313514 hasConceptScore W2405313514C94128290 @default.
- W2405313514 hasLocation W24053135141 @default.
- W2405313514 hasOpenAccess W2405313514 @default.
- W2405313514 hasPrimaryLocation W24053135141 @default.
- W2405313514 hasRelatedWork W1509479920 @default.
- W2405313514 hasRelatedWork W1528260026 @default.
- W2405313514 hasRelatedWork W1798938997 @default.
- W2405313514 hasRelatedWork W1816844864 @default.
- W2405313514 hasRelatedWork W2026055711 @default.
- W2405313514 hasRelatedWork W2064016956 @default.
- W2405313514 hasRelatedWork W2096634176 @default.
- W2405313514 hasRelatedWork W2119214167 @default.
- W2405313514 hasRelatedWork W2158774545 @default.
- W2405313514 hasRelatedWork W2363805791 @default.
- W2405313514 hasRelatedWork W2377053964 @default.
- W2405313514 hasRelatedWork W2529246537 @default.
- W2405313514 hasRelatedWork W2531598502 @default.
- W2405313514 hasRelatedWork W2581236533 @default.
- W2405313514 hasRelatedWork W2907502884 @default.
- W2405313514 hasRelatedWork W3122445144 @default.
- W2405313514 hasRelatedWork W3123830207 @default.
- W2405313514 hasRelatedWork W3124042320 @default.
- W2405313514 hasRelatedWork W3208999641 @default.
- W2405313514 hasRelatedWork W328062465 @default.
- W2405313514 isParatext "false" @default.
- W2405313514 isRetracted "false" @default.
- W2405313514 magId "2405313514" @default.
- W2405313514 workType "article" @default.