An empirical evaluation of structural changes in quantile autoregressive models
This work proposes an evaluation on a subgradient test for structural change and on the usual coverage tests to evaluate Value at Risk (VaR) estimates, obtained by quantile regression. In an initial analysis, exchange-traded funds returns were evaluated during the United States subprime mortgage cri...
| Main Author: | SANTOS, Yuri Martí Santana |
|---|---|
| Other Authors: | OSPINA, Raydonal |
| Format: | masterThesis |
| Language: | eng |
| Published: |
Universidade Federal de Pernambuco
2019
|
| Subjects: | |
| Online Access: |
https://repositorio.ufpe.br/handle/123456789/33751 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|