conditional quantile estimation. Specifically, we model the conditional standard deviation as a realized GARCH model and employ … proposed dynamic quantile models. We devise a two-step estimation procedure to estimate the conditional quantile parameters …. The first step applies a quasi-maximum likelihood estimation procedure, with the realized volatility as a proxy for the …

estimation method for a high-dimensional VAR model. We apply the robust estimator to predicting large volatility matrices and … estimation and prediction methods. Using high-frequency trading data, we apply the proposed method to large volatility matrix …