Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility

0434200 - ÚTIA 2017 RIV GB eng J - Článek v odborném periodiku
Žikeš, F. - Baruník, Jozef
Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility.
Journal of Financial Econometrics. Roč. 14, č. 1 (2016), s. 185-226. ISSN 1479-8409. E-ISSN 1479-8417
Grant CEP: GA ČR GA13-32263S
GRANT EU: European Commission 612955 - FINMAP
Institucionální podpora: RVO:67985556
Klíčová slova: conditional quantiles * quantile regression * realized measures * value-at-risk
Kód oboru RIV: AH - Ekonomie
Impakt faktor: 1.800, rok: 2016
http://library.utia.cas.cz/separaty/2014/E/barunik-0434200.pdf

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 flexible quantile regression framework and rely on recently developed model-free measures of integrated variance, upside and downside semivariance, and jump variation. Our results for the S&P 500 and WTI Crude Oil futures contracts show that simple linear quantile regressions for returns and heterogenous quantile autoregressions for realized volatility perform very well in capturing the dynamics of the respective conditional distributions, both in absolute terms as well as relative to a couple of well-established benchmark models. The models can therefore serve as useful risk management tools for investors trading the futures contracts themselves or various derivative contracts written on realized volatility.
Trvalý link: http://hdl.handle.net/11104/0238364