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Keywords: CaViaR
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Journal Articles
Journal of Economics, Finance and Administrative Science (2021) 26 (52): 197–221.
Published: 24 November 2021
... and compared with the predictive performance of the Conditional Autoregressive Value-at-Risk (CaViaR) considering the four alternative specifications proposed by Engle and Manganelli (2004). Findings The results support the robustness of the CaViaR model in out-sample VaR forecasting for the MILA and ASEAN...
