Quantile Regression Estimation for VaR of P-Garch Processes

ZHAO Biao, ZHAO Zilong,FENG Mu

Journal of Systems Science and Mathematical Sciences ›› 2017, Vol. 37 ›› Issue (1) : 253-265.

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Journal of Systems Science and Mathematical Sciences ›› 2017, Vol. 37 ›› Issue (1) : 253-265. DOI: 10.12341/jssms13058

Quantile Regression Estimation for VaR of P-Garch Processes

  • ZHAO Biao1 ,ZHAO Zilong2,1 ,FENG Mu2,1
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{{article.zuoZheEn_L}}. {{article.title_en}}. Journal of Systems Science and Mathematical Sciences, 2017, 37(1): 253-265 https://doi.org/10.12341/jssms13058

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