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Volatility
conditional quantiles
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1
Discrete-time volatility forecasting : a quantile regression approach
Oliveira, Víctor Henriques
;
De Oliveira Horta, Eduardo
- In:
Revista Brasileira de Finanças : RBFin
18
(
2020
)
4
,
pp. 77-114
Persistent link: https://www.econbiz.de/10012437048
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2
Quantile-based smooth transition value at risk estimation
Hubner, Stefan
;
Čížek, Pavel
- In:
The econometrics journal
22
(
2019
)
3
,
pp. 241-261
Persistent link: https://www.econbiz.de/10012166749
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3
Semiparametric conditional quantile models for financial returns and realized volatility
Žikeš, Filip
;
Jozef, Baruník
-
2014
This paper investigates how the
conditional
quantiles
of future returns and volatility of financial assets vary with …
Persistent link: https://www.econbiz.de/10010407475
Saved in:
4
Semi-parametric conditional quantile models for financial returns and realized volatility
Zikes, Filip
;
Barunik, Jozef
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
1
,
pp. 185-226
Persistent link: https://www.econbiz.de/10011588557
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