Browsing by Subject "Value-at-risk"

Now showing items 1-2 of 2

    • Estimation of T- period’s ahead extreme quantile autoregression function 

      Mwita, Peter Nyamuhanga (African Journal of Mathematics and Computer Science Research, 2010)
      This paper considers the estimation of extreme quantile autoregression function by using a parametric model. We combine direct estimation of quantiles in the middle region with that of extreme parts using the model and ...

    • Nonparametric Estimates for Conditional Quantiles of Time Series 

      Franke, Jürgen; Mwita, Peter N.; Wang, Weining (2014)
      We consider the problem of estimating the conditional quantile of a time series fYtg at time t given covariates Xt , where Xt can either exogenous variables or lagged variables of Yt . The conditional quantile is ...