estimated nonparametrically too. In this framework, we develop the asymptotic distribution theory of the EPK in the L1 sense …, as an alternative to the asymptotic approach, we propose a bootstrap confidence band. The developed theory is helpful for …

that can be conveniently parameterised by the first two moments. However, with market volatility increasing over time and …

This paper investigates how the conditional quantiles of future returns and volatility of financial assets vary with … various measures of ex-post variation in asset prices as well as option-implied volatility. We work in the exible quantile … regressions for returns and heterogenous quantile autoregressions for realized volatility perform very well in capturing the …

study demonstrates that idiosyncratic volatility and stock returns relation is quantile dependent. The relation between … idiosyncratic volatility and stock returns is parabolic. The high idiosyncratic risk is associated with high (low) excess returns at … idiosyncratic volatility and the stock returns relation in the literature …