In this paper we address the issue of forecasting Value-at-Risk (VaR) using different volatility measures: realized volatility, bipower realized volatility, two-scales realized volatility, realized kernel, as well as the daily range. We propose a dynamic model with a flexible trend specification...

Quantile regression is an efficient tool when it comes to estimate popular measures of tail risk such as the conditional quantile Value at Risk. In this paper we exploit the availability of data at mixed frequency to build a volatility model for daily returns with low- (for macro-variables) and...

As a response to the Great Recession, many central banks resorted to unconventional monetary policies, in the form of a balance sheet expansion. Our research aims at analyzing the impact of the ECB policies on stock market volatility in four Eurozone countries (France, Germany, Italy, and Spain)...