Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/153391
Authors: 
White, Halbert
Kim, Tae-Hwan
Manganelli, Simone
Year of Publication: 
2008
Series/Report no.: 
ECB Working Paper 957
Abstract: 
Engle and Manganelli (2004) propose CAViaR, a class of models suitable for estimating conditional quantiles in dynamic settings. Engle and Manganelli apply their approach to the estimation of Value at Risk, but this is only one of many possible applications. Here we extend CAViaR models to permit joint modeling of multiple quantiles, Multi-Quantile (MQ) CAViaR. We apply our new methods to estimate measures of conditional skewness and kurtosis defined in terms of conditional quantiles, analogous to the unconditional quantile-based measures of skewness and kurtosis studied by Kim and White (2004). We investigate the performance of our methods by simulation, and we apply MQ-CAViaR to study conditional skewness and kurtosis of S&P 500 daily returns.
Subjects: 
Asset returns
CAViaR
conditional quantiles
Dynamic quantiles
Kurtosis
Skewness
JEL: 
C13
C32
Document Type: 
Working Paper

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