Počet záznamů: 1
Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility
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SYSNO ASEP 0434200 Druh ASEP J - Článek v odborném periodiku Zařazení RIV J - Článek v odborném periodiku Poddruh J Článek ve WOS Název Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility Tvůrce(i) Žikeš, F. (GB)
Baruník, Jozef (UTIA-B) RID, ORCIDCelkový počet autorů 2 Zdroj.dok. Journal of Financial Econometrics. - : Oxford University Press - ISSN 1479-8409
Roč. 14, č. 1 (2016), s. 185-226Poč.str. 42 s. Forma vydání Tištěná - P Jazyk dok. eng - angličtina Země vyd. GB - Velká Británie Klíč. slova conditional quantiles ; quantile regression ; realized measures ; value-at-risk Vědní obor RIV AH - Ekonomie CEP GA13-32263S GA ČR - Grantová agentura ČR Institucionální podpora UTIA-B - RVO:67985556 UT WOS 000369231300006 EID SCOPUS 84964589288 DOI 10.1093/jjfinec/nbu029 Anotace 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. Pracoviště Ústav teorie informace a automatizace Kontakt Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Rok sběru 2017
Počet záznamů: 1