Instead of assuming the distribution of return series, Engle and Manganelli (2004) propose a new Value-at-Risk (VaR) modeling approach, Conditional Autoregressive Value-at-Risk (CAViaR), to directly compute the quantile of an individual asset’s returns which performs better in many cases than those that invert a return distribution.
Yale School of Management
EDHEC Business School
Washington University in St. Louis
School of Mathematical Sciences,The University of Adelaide
School of International Tradeand Economics, University of International Business and Economics
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|Research Cluster :||Finance|