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Semiparametric conditional quantile models for financial returns and realized volatility
Žikeš, Filip; Jozef, Baruník - 2014
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 …
Persistent link: https://www.econbiz.de/10010407475
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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
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An approximate long-memory range-based approach for value at risk estimation
Meng, Xiaochun; Taylor, James W. - In: International journal of forecasting 34 (2018) 3, pp. 377-388
Persistent link: https://www.econbiz.de/10012030985
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Realized quantity extended conditional autoregressive value-at-risk models
Götz, Pit - In: Journal of risk : JOR 26 (2023) 2, pp. 33-63
Persistent link: https://www.econbiz.de/10014487299
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Estimating dynamic copula dependence using intraday data
Grossmass, Lidan; Poon, Ser-Huang - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 4, pp. 501-529
Persistent link: https://www.econbiz.de/10011339412
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Testing hypotheses on the innovations distribution in semi-parametric conditional volatility models
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of financial econometrics 21 (2023) 5, pp. 1443-1482
Persistent link: https://www.econbiz.de/10014444685
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Less volatile value-at-risk estimation under a semi-parametric approach
Huang, Shih-Feng; Wang, David K. - In: Asia-Pacific journal of financial studies 52 (2023) 3, pp. 374-393
Persistent link: https://www.econbiz.de/10014318379
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A semiparametric nonlinear quantile regression model for financial returns
Avdulaj, Krenar; Barunik, Jozef - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 21 (2017) 1, pp. 81-97
Persistent link: https://www.econbiz.de/10011650231
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Translating financial integration into correlation risk : a weekly reporting's viewpoint for the volatility behavior of stock markets
Gatfaoui, Hayette - In: Economic modelling 30 (2013), pp. 776-791
Persistent link: https://www.econbiz.de/10009708799
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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