Paul, Samit; Sharma, Prateek - In: Studies in Economics and Finance 35 (2018) 4, pp. 481-504
Purpose: This study aims to implement a novel approach of using the Realized generalized autoregressive conditional heteroskedasticity (GARCH) model within the conditional extreme value theory (EVT) framework to generate quantile forecasts. The Realized GARCH-EVT models are estimated with...