Semi-parametric conditional quantile models for financial returns and realized volatility
Filip Zikes, Jozef Barunik
| Year of publication: |
2016
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|---|---|
| Authors: | Zikes, Filip ; Barunik, Jozef |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 14.2016, 1, p. 185-226
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| Subject: | conditional quantiles | quantile regression | realized measures | value-at-risk | Volatilität | Volatility | Regressionsanalyse | Regression analysis | Risikomaß | Risk measure | Kapitaleinkommen | Capital income | Nichtparametrisches Verfahren | Nonparametric statistics | ARCH-Modell | ARCH model | Theorie | Theory | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbu029 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011588557