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Using CAViaR models with implied volatility for value-at-risk estimation
Jooyong Jeon, James W. Taylor
Management
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peer-review
24
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Mathematics
Implied Volatility
Value at Risk
Model
Appeal
Forecast
Quantile Regression
Empirical Distribution
Standard Model
Time Series Models
Conditional Distribution
Market
Quantile
Synthesis
Time series
Tail
Business & Economics
Implied Volatility
Value at Risk
Quantile Regression
Forecast Combining
Empirical Distribution
Conditional Distribution
Time Series Models
Quantile
Estimation Method
Engineering & Materials Science
Time series