Yi, Yanping; Feng, Xingdong; Huang, Zhuo - In: Economics Letters 124 (2014) 3, pp. 378-381
We proposed a method to estimate extreme conditional quantiles by combining quantile GARCH model of Xiao and Koenker (2009) and extreme value theory (EVT) approach. We first estimate the latent volatility process using the information of intermediate quantiles. We then apply EVT to the tail...
