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NTIS 바로가기응용통계연구 = The Korean journal of applied statistics, v.23 no.4, 2010년, pp.669 - 681
Lee, Sang-Yeol (Department of Statistics, Seoul National University) , Noh, Jung-Sik (Department of Statistics, Seoul National University)
Value-at-Risk(VaR) is an important part of risk management in the financial industry. This paper present a VaR forecasting for financial time series based on the quantile regression for GARCH models recently developed by Lee and Noh (2009). The proposed VaR forecasting features the direct conditiona...
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