Global ETD Search

Robust Inference with Quantile Regression in Stochastic Volatility Models with application to Value at Risk calculation

Saha, Paramita2008

… (i) Regression Quantile Method of Moments (RQMM) and (ii) Regression Quantile - Kalman Filtering method (RQ-KF) based on the QR approach that can be used to obtain robust SV model parameter estimates as well as VaR estimates. The RQMM is a simulation based indirect inference procedure where …

ncsu Repository record for Robust Inference with Quantile Regression in Stochastic Volatility Models with application to Value at Risk calculation (opens in a new tab)