[R] Conditional Autoregressive Value at Risk (CAViaR)

shanepower1988 at gmail.com shanepower1988 at gmail.com
Wed Jul 27 22:02:43 CEST 2011


I am trying to replicate Engle and Manganelli's paper Conditional
Autoregressive Value at Risk (CAViaR) by Regression Quantiles. I have the
Matlab code which I cannot get to work as I have never used Matlab before,
does anyone know if there is the same code available to estimate the CAViaR
models in R?


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