A New Quantile Regression Model to forecast one-day-ahead Value-at-Risk
This master thesis focuses on the problem of forecasting volatility and Value-at-Risk (VaR) in the nancial markets. There are numerous methods for calculating VaR. However, research in this area has not currently reached one universally accepted method that can produce good VaR estimates across dier...
| Main Authors: | , |
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| Format: | Others |
| Language: | English |
| Published: |
Norges teknisk-naturvitenskapelige universitet, Institutt for samfunnsøkonomi
2014
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-25294 |