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On quantile estimator in volatility model with non-negative error density and Bayesian perspective
Dutta, Debajit; Dhar, Subhra Sankar; Mitra, Amit - 2019
Persistent link: https://www.econbiz.de/10012244179
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Leverage effects and stochastic volatility in spot oil returns : a Bayesian approach with VaR and CVaR applications
Chen, Liyuan; Zerilli, Paola; Baum, Christopher F. - 2018
Persistent link: https://www.econbiz.de/10011891048
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Leverage effects and stochastic volatility in spot oil returns : a Bayesian approach with VaR and CVaR applications
Chen, Liyuan; Zerilli, Paola; Baum, Christopher F. - In: Energy economics 79 (2019), pp. 111-129
Persistent link: https://www.econbiz.de/10012172264
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Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression
Allen, David E.; Singh, Abhay K.; Powell, Robert J.; … - 2013
The purpose of this paper is to examine the asymmetric relationship betweenprice and implied volatility and the associated extreme quantile dependence usinglinear and non linear quantile regression approach. Our goal in this paper is todemonstrate that the relationship between the volatility and...
Persistent link: https://www.econbiz.de/10010326227
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Volatility forecasting of exchange rate by quantile regression
Huang, Alex; Peng, Sheng-pen; Li, Fangjhy; Ke, Ching-jie - In: International review of economics & finance : IREF 20 (2011) 4, pp. 591-606
Persistent link: https://www.econbiz.de/10009303959
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Commodity value-at-risk modeling : comparing riskmetrics, historic simulation and quantile regression
Steen, Marie; Westgaard, Sjur; Gjølberg, Ole - In: The journal of risk model validation 9 (2015) 2, pp. 49-78
Persistent link: https://www.econbiz.de/10011326305
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Risk-parameter estimation in volatility models
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 184 (2015) 1, pp. 158-173
Persistent link: https://www.econbiz.de/10011326796
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Return-volatility relationship : insights from linear and non-linear quantile regression
Allen, David E.; Singh, Abhay Kumar; Powell, Robert; … - 2013
Persistent link: https://www.econbiz.de/10009724826
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A simple two-component model for the distribution of intraday returns
Coroneo, Laura; Veredas, David - In: The European journal of finance 18 (2012) 9/10, pp. 775-797
Persistent link: https://www.econbiz.de/10009691780
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Forecasting the return distribution using high-frequency volatility measures
Hua, Jian; Manzan, Sebastiano - In: Journal of banking & finance 37 (2013) 11, pp. 4381-4403
Persistent link: https://www.econbiz.de/10010247031