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Semi-parametric conditional quantile models for financial returns and realized volatility

Zikes, Filip; Barunik, Jozef - In: Journal of financial econometrics : official journal of … 14 (2016) 1, pp. 185-226

Persistent link: https://www.econbiz.de/10011588557

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

Discovering intraday tail dependence patterns via a full-range tail dependence copula

Hua, Lei - In: Risks : open access journal 11 (2023) 11, pp. 1-17

In this research, we employ a full-range tail dependence copula to capture the intraday dynamic tail dependence patterns of 30 s log returns among stocks in the US market in the year of 2020, when the market experienced a significant sell-off and a rally thereafter. We also introduce a...

Persistent link: https://www.econbiz.de/10014436379

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

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

The nonlinear and negative tail dependence and risk spillovers between foreign exchange and stock markets in emerging economies

Tian, Maoxi; El Khoury, Rim; Alshater, Muneer Maher - In: Journal of international financial markets, … 82 (2023), pp. 1-28

Persistent link: https://www.econbiz.de/10014246021

Efficient estimation of financial risk by regressing the quantiles of parametric distributions : an application to CARR models

Chan, Jennifer So Kuen; Kok Haur Ng; Thanakorn … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 2, pp. 1-22

Persistent link: https://www.econbiz.de/10012054882

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

Measuring tail risk with GAS time varying copula, fat tailed GARCH model and hedging for crude oil futures

Gong, Xiao-Li; Liu, Xi-Hua; Xiong, Xiong - In: Pacific-Basin finance journal 55 (2019), pp. 95-109

Persistent link: https://www.econbiz.de/10012169513

Risk spillover analysis of China's financial sectors based on a new GARCH Copula quantile regression model

Tian, Maoxi; Guo, Fei; Niu, Rong - In: The North American journal of economics and finance : a … 63 (2022), pp. 1-25

Persistent link: https://www.econbiz.de/10014225784