Title

Robust Estimation in VaR Modelling - Univariate Approaches using Bounded Innovation Propagation and Regression Quantiles Methodology

Journal title

Central European Journal of Economic Modelling and Econometrics

Yearbook

2013

Issue

No 1

Authors

Ratuszny, Ewa

Keywords

Robust estimation ; quantile regression ; CAViaR ; ARMA-GARCH models

Divisions of PAS

Nauki Humanistyczne i Społeczne

Coverage

35-63

Publisher

Oddział PAN w Łodzi

Date

31.03.2013

Type

Artykuły / Articles

Identifier

DOI: 10.24425/cejeme.2013.119252 ; ISSN - 2080-0886, ISSN online - 2080-119X

Source

Central European Journal of Economic Modelling and Econometrics; 2013; No 1; 35-63