Displaying 1 result from an estimated 1 matches for "qantile_".
2006 Nov 27
0
quantile regression - estimation of CAViaR
How is it possible to estimate the conditional autoregressive Value-at-Risk model
qantile_t(tau)=a0+a1*qantile_(t-1)(tau)+a2*abs(r_(t-1))
see http://www.faculty.ucr.edu/~taelee/paper/BLSpaper1.pdf (page 10)) of Engle & Manganelli in R? The qantile_(t-1)(tau)-term causes headache.
Kind regards,
Jaci
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