TY - JOUR N2 - In the paper we present robust estimation methods based on bounded innovation propagation filters and quantile regression, applied to measure Value at Risk. To illustrate advantage connected with the robust methods, we compare VaR forecasts of several group of instruments in the period of high uncertainty on the financial markets with the ones modelled using traditional quasi-likelihood estimation. For comparative purpose we use three groups of tests i.e. based on Bernoulli trial models, on decision making aspect, and on the expected shortfall. L1 - http://www.czasopisma.pan.pl/Content/103751/PDF/mainFile.pdf L2 - http://www.czasopisma.pan.pl/Content/103751 PY - 2013 IS - No 1 EP - 63 DO - 10.24425/cejeme.2013.119252 KW - Robust estimation KW - quantile regression KW - CAViaR KW - ARMA-GARCH models A1 - Ratuszny, Ewa PB - Oddział PAN w Łodzi DA - 31.03.2013 T1 - Robust Estimation in VaR Modelling - Univariate Approaches using Bounded Innovation Propagation and Regression Quantiles Methodology SP - 35 UR - http://www.czasopisma.pan.pl/dlibra/publication/edition/103751 T2 - Central European Journal of Economic Modelling and Econometrics ER -