CAViaR
Subtitle: conditional value at risk by quantile regression
By: Robert F. Engle, Simone Manganelli.
Contributors: Manganelli, Simone.; National Bureau of Economic Research.
Series: NBER working paper series -- no. 7341; Working paper series (National Bureau of Economic Research) -- working paper no. 7341.
Publisher: National Bureau of Economic Research
Published: 1999
Place of publication: Cambridge, MA
Language: eng
Number of pages: 51
Subjects: Financial futures -- Econometric models.; Rate of return -- Forecasting -- Econometric models.; Parameter estimation.; Stock price forecasting.; Risk management -- Econometric models.
Other titles: Conditional value at risk by quantile regression
Notes: "September 1999."

JEL no. C14.

Includes bibliographical references (p. 38-39)

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Electronic version available via the Internet at the NBER World Wide Web site.