Blar i NTNU Open på forfatter "Steine, Sturla Aavik"
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A New Quantile Regression Model to forecast one-day-ahead Value-at-Risk
Steine, Sturla Aavik; Eliassen, Markus Thorsø (Master thesis, 2014)This master thesis focuses on the problem of forecasting volatility and Value-at-Risk (VaR) in the nancial markets. There are numerous methods for calculating VaR. However, research in this area has not currently reached ...