interval between two quantiles, or in an interval that covers the range of the distribution to the left or right of a quantile …. Our so-called interquantile expectation regression (IQER) estimator is based on the GMM framework. We derive consistency …. Our results apply to stationary and ergodic time series. In a simulation study we show that our asymptotic theory provides …

To examine the familiar tradeoff between risk and return in financial investments, we use a rolling two …-stage stochastic program to compare mean-risk optimization models with time series momentum strategies. In a backtest of allocating … investment between a market index and a risk-free asset, we generate scenarios of future return according to a momentum …

time series setting in the context of a single-index model for a generalized quantile regression framework. We can thus …

penalization parameter () of a linear quantile lasso regression. The FRM is calculated by taking the average of the penalization …In this paper we propose a new measure for systemic risk: the Financial Risk Meter (FRM). This measure is based on the … parameters over the 100 largest US publicly traded financial institutions. We demonstrate the suitability of this risk measure by …

systematic risk is highly nonlinear in extreme scenarios-especially during the subprime crisis. We find that countercyclical …-traditional risk premia by deliberately increasing their systematic risk while the later focus more on minimizing risk. Our results … suggest that the hedge fund strategies' betas respond more to illiquidity uncertainty than to illiquidity risk during crises …

evaluation of the methodological and empirical advances in the measurement of the extreme market risk. This paper argues that a … sustain the rise of financial markets. Thereafter, this review identified the value at risk (VaR) and VaR-based alternative … expected shortfall (ES) as the principal measures of extreme market risk. The deficiencies in the standard modelling approaches …

quantile and expectile estimation, a platform for risk assessment is provided. ES and implications for tail events under … different distributional scenarios are investigated, particularly we discuss the implications of increased tail risk for mixture … can be successfully estimated on a daily basis using a one-year time horizon across different risk levels. …

-2020, we estimate the Capital Asset Pricing Model (CAPM) using quantile regression framework, which is robust to distributional …This paper examines the implications for risk taking in an emerging stock market, viz., Pakistan Stock Exchange (PSX … assumptions and can estimate the elasticities across the risk spectrum. The empirical findings suggest that the elasticities, viz …

of financial assets proves their effectiveness in modeling multivariate financial series and assessing risk measures …, such as the value at risk and the expected shortfall. …