Semi-parametric conditional quantile models for financial returns and realized volatility
Year of publication: |
2016
|
---|---|
Authors: | Zikes, Filip ; Barunik, Jozef |
Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 14.2016, 1, p. 185-226
|
Subject: | conditional quantiles | quantile regression | realized measures | value-at-risk | Volatilität | Volatility | Kapitaleinkommen | Capital income | Risikomaß | Risk measure | Nichtparametrisches Verfahren | Nonparametric statistics | Regressionsanalyse | Regression analysis | Schätzung | Estimation | ARCH-Modell | ARCH model |
-
Semiparametric conditional quantile models for financial returns and realized volatility
Žikeš, Filip, (2014)
-
An approximate long-memory range-based approach for value at risk estimation
Meng, Xiaochun, (2018)
-
Forecasting the return distribution using high-frequency volatility measures
Hua, Jian, (2013)
- More ...
-
Modeling and forecasting persistent financial durations
Zikes, Filip, (2015)
-
Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility
Zikes, Filip, (2013)
-
Modeling and Forecasting Persistent Financial Durations
Zikes, Filip, (2012)
- More ...