shanepower1988 at gmail.com
2011-Jul-27 20:02 UTC
[R] Conditional Autoregressive Value at Risk (CAViaR)
Hi, I am trying to replicate Engle and Manganelli's paper Conditional Autoregressive Value at Risk (CAViaR) by Regression Quantiles. I have the Matlab code which I cannot get to work as I have never used Matlab before, does anyone know if there is the same code available to estimate the CAViaR models in R? Thanks, Shane -- View this message in context: http://r.789695.n4.nabble.com/Conditional-Autoregressive-Value-at-Risk-CAViaR-tp3699673p3699673.html Sent from the R help mailing list archive at Nabble.com.
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