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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

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

The volatility-return relationship : insights from linear and non-linear quantile regressions

Allen, David E. (contributor) - 2012

Persistent link: https://www.econbiz.de/10009712040

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

The determinants of equity risk and their forecasting implications : a quantile regression perspective

Bonaccolto, Giovanni; Caporin, Massimiliano - In: Journal of risk and financial management : JRFM 9 (2016) 3, pp. 1-25

Several market and macro-level variables influence the evolution of equity risk in addition to the well-known volatility persistence. However, the impact of those covariates might change depending on the risk level, being different between low and high volatility states. By combining equity risk...

Persistent link: https://www.econbiz.de/10011543141