Efficient estimation of financial risk by regressing the...

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Studies in Nonlinear Dynamics and Econometrics 2018 / 09

Efficient estimation of financial risk by regressing the quantiles of parametric distributions: An application to CARR models

Chan, Jennifer So Kuen, Ng, Kok-Haur, Nitithumbundit, Thanakorn, Peiris, Shelton
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Language:
english
Journal:
Studies in Nonlinear Dynamics & Econometrics
DOI:
10.1515/snde-2017-0012
Date:
September, 2018
File:
PDF, 3.93 MB
english, 2018
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