Andre B.M. Souza

Universitat Pompeu Fabra - Department of Economics and Business

Barcelona

Spain

http://andrebmsouza.com

Barcelona Graduate School of Economics (Barcelona GSE)

Ramon Trias Fargas, 25-27

Barcelona, Barcelona 08005

Spain

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Backtesting Global Growth-at-Risk

Number of pages: 61 Posted: 10 Oct 2019 Last Revised: 24 Mar 2020
Christian T. Brownlees and Andre B.M. Souza
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and Universitat Pompeu Fabra - Department of Economics and Business
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Abstract:

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Growth-at-Risk, Backtesting, Quantile Regression, GARCH