In this paper we propose a downside risk measure, the expectile-based Value at Risk (EVaR), which is more sensitive to the magnitude of extreme losses than the conventional quantile-based VaR (QVaR). The index $\theta$ of an EVaR is the relative cost of the expected margin shortfall and hence...

This paper proposes a new class of estimators based on the inter-quantile-range of intraday returns, referred to as Inter-Quantile-Range-based volatility (IQRBV), to estimate the integrated daily volatility. As the range-based volatility measure, the IQRBV estimate is insensitive to market...