CAViaR and the Australian stock markets [electronic resource] : an appetiser / by D. E. Allen and A....
CAViaR and the Australian stock markets [electronic resource] : an appetiser / by D. E. Allen and A. K. Singh.
About this item
Full title
Author / Creator
Publisher
Joondalup, W.A. : School of Accounting, Finance and Economics, Edith Cowan University, 2010.
Date
2010.
Record Identifier
MMS ID
Language
English
Formats
Publication information
Publisher
Joondalup, W.A. : School of Accounting, Finance and Economics, Edith Cowan University, 2010.
Series
Place of Publication
Western Australia
Date Published
2010.
Subjects
Subject Keywords
- Australian
More information
Scope and Contents
Summary
Value-at-Risk (VaR) has become the universally accepted metric adopted internationally under the Basel Accords for banking industry internal control and for regulatory reporting. This has focused attention on methods of measuring, estimating and forecasting lower tail risk. One promising technique is Quantile Regression which holds the promise of...
Alternative Titles
Full title
CAViaR and the Australian stock markets [electronic resource] : an appetiser / by D. E. Allen and A. K. Singh.
Authors, Artists and Contributors
Author / Creator
Notes
General note
Working paper / School of Accounting, Finance and Economics, Edith Cowan University ; 1003.
Title from title screen (viewed on July 19, 2012)
"September 2010".
Includes bibliographical references (p. 20-21)
System details note
Mode of access: Available online. Address as at 19/07/2012: http://www.business.ecu.edu.au/schools/afe/wps/index.htm.
System requirements: Adobe Acrobat Reader to access the document in PDF format.
Contextual Information
Other version (online)
Identifiers
Primary Identifiers
Record Identifier
74VvjVGZo5Xl
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/74VvjVGZo5Xl
Other Identifiers
DDC
332.64294 519.536
MMS ID
991015156249702626
