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In the prediction of quantiles of daily Standard&Poor’s 500 (S&P 500) returns we consider how to use high-frequency 5-minute data. We examine methods that incorporate the high frequency information either indirectly, through combining forecasts (using forecasts generated from returns sampled...
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We investigate the predictive performance of various classes of value-at-risk (VaR) models in several dimensions — unfiltered versus filtered VaR models, parametric versus nonparametric distributions, conventional versus extreme value distributions, and quantile regression versus inverting the...
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