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CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles
Abstract
Value at risk (VaR) is the standard measure of market risk used by financial institutions. Interpreting the VaR as the quantile of future portfolio values conditional on current information, the conditional autoregressive value at risk (CAViaR) model specifies the evolution of the quantile over time using an autoregressive process and estimates the parameters with regression quantiles. Utilizing the criterion that each period the probability of exceeding the VaR must be independent of all the past information, we introduce a new test of model adequacy, the dynamic quantile test. Applications to real data provide empirical support to this methodology.
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Cited by
Engle, R. (2002) · Journal of Business & Economic Statistics · doi:10.1198/073500102288618487 · Cited by 7,133
Self-citationAdrian, T., & Brunnermeier, M. K. (2016) · American Economic Review · doi:10.1257/aer.20120555 · Cited by 2,373
MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*
Patton, A. J. (2006) · International Economic Review · doi:10.1111/j.1468-2354.2006.00387.x · Cited by 2,112
Value-at-Risk Prediction: A Comparison of Alternative Strategies
Kuester, K. (2005) · Journal of Financial Econometrics · doi:10.1093/jjfinec/nbj002 · Cited by 632
Systemic risk and the macroeconomy: An empirical evaluation
Giglio, S., Kelly, B., & Pruitt, S. (2016) · Journal of Financial Economics · doi:10.1016/j.jfineco.2016.01.010 · Cited by 555
Metadata
- Authors
- Engle, R. F., & Manganelli, S.
- Venue
- Journal of Business & Economic Statistics
- Publisher
- Informa UK Limited
- Published
- 2004-10-01
- Volume
- 22
- Issue
- 4
- Pages
- 367-381
- ISSN
- 0735-0015 (ISSN-L)
- 1537-2707
- OpenAlex
- W2150747312
- Cited by
- 2,199
- References
- 0
- FWCI
- 58.63
- Type
- journal article
- Language
- en
- Open access
- closed
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- Engle, R. F., & Manganelli, S. (2004). CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles. Journal of Business & Economic Statistics. https://doi.org/10.1198/073500104000000370
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