Estimation of dynamic quantile models via the MM algorithm
02 Pubblicazione su volume
Poggioni Fabrizio, Bernardi Mauro, Petrella Lea
Accurate Value at Risk measurement often requires estimation of complex dynamic models where usually the parameters enter nonlinearly the quantile estimation equation. IN this paper we address the problem of estimation of the parameters of a class of conditionally autoregressive Value at Risk models by adapting the Majorizing-Minorizing algorithm of Hunter and Lange (2000)