Computing Conditional VaR Based on Threshold Quantile Regression
Guoyong Li · Jingji wenti · 2010
In this paper,the threshold quantile regression model is presented,which is revised model of the linear quantile regression,which can not suit practical demand.an empirical analysis on Minsheng Bank stock based on this model is given.and a liquidity risk measure is picked as the condition variable.By the analysis,the result obtained based on threshold quantile regression model can describe the practical market better,and forecast the market risk better.