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Keywords: MV-CAViaR
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Journal Articles
Journal:
Journal of Modelling in Management
Journal of Modelling in Management (2022) 17 (4): 1280–1291.
Published: 15 September 2021
... of the options and can provide effective suggestions for regulators and investors who hedge risks. Design/methodology/approach The MV-CAViaR model is an extended form of the vector autoregressive model (VAR) to the quantile model, and it is also a special form of the MVMQ-CAViaR model. Based on the VAR...
