To capture the "long-memory" effect in volatility, a multiplicative component conditional autoregressive range (MCCARR) model is proposed. We show theoretically that the MCCARR model can capture the ...
Journal of the Royal Statistical Society. Series B (Statistical Methodology), Vol. 80, No. 5 (2018), pp. 975-993 (19 pages) Estimating conditional quantiles of financial time series is essential for ...
This issue of The Journal of Risk covers topics including the estimation of value-at-risk using high-frequency data, as well as autoregressive techniques, the tail evaluation of extreme drawdowns, and ...
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