Risk transmission among financial markets and their participants is time- evolving, especially for the extreme risk scenarios. Possibly sudden time variation of such risk structures ask for quantitative technology that is able to cope with such situations. Here we present a novel localized...

In this paper we survey the theoretical and empirical literatures on market liquidity. We organize both literatures around three basic questions: (a) how to measure illiquidity, (b) how illiquidity relates to underlying market imperfections and other asset characteristics, and (c) how...

In this paper, Value-at-Risk (VaR) models that account for intraday-jumps are developed. The VaR is modeled directly as a quantile, the respective model-parameters are estimated by using quantile-regression. In order to analyze the dynamics of the impact of intraday-jumps on the forecasts,...

This paper investigates how to measure common market risk factors using newly proposed Panel Quantile Regression Model for Returns. By exploring the fact that volatility crosses all quantiles of the return distribution and using penalized fixed effects estimator we are able to control for...