CAViaR
Top Cited Papers
- 1 October 2004
- journal article
- Published by Taylor & Francis in Journal of Business & Economic Statistics
- Vol. 22 (4) , 367-381
- https://doi.org/10.1198/073500104000000370
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 co...Keywords
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