Počet záznamů: 1
Semiparametric nonlinear quantile regression model for financial returns
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SYSNO ASEP 0472346 Druh ASEP J - Článek v odborném periodiku Zařazení RIV J - Článek v odborném periodiku Poddruh J Článek ve WOS Název Semiparametric nonlinear quantile regression model for financial returns Tvůrce(i) Avdulaj, Krenar (UTIA-B)
Baruník, Jozef (UTIA-B) RID, ORCIDCelkový počet autorů 2 Zdroj.dok. Studies in Nonlinear Dynamics and Econometrics - ISSN 1081-1826
Roč. 21, č. 1 (2017), s. 81-97Poč.str. 17 s. Forma vydání Tištěná - P Jazyk dok. eng - angličtina Země vyd. US - Spojené státy americké Klíč. slova copula quantile regression ; realized volatility ; value-at-risk Vědní obor RIV AH - Ekonomie Obor OECD Applied Economics, Econometrics CEP GBP402/12/G097 GA ČR - Grantová agentura ČR Institucionální podpora UTIA-B - RVO:67985556 UT WOS 000394467800006 EID SCOPUS 85013269709 DOI 10.1515/snde-2016-0044 Anotace Accurately measuring and forecasting value-at-risk (VaR) remains a challenging task at the heart of financial economic theory. Recently, quantile regression models have been used successfully to capture the conditional quantiles of returns and to forecast VaR accurately. In this paper, we further explore nonlineari- ties in data and propose to couple realized measures with the nonlinear quantile regression framework to explain and forecast the conditional quantiles of financial returns. The nonlinear quantile regression models are implied by the copula specifications and allow us to capture possible nonlinearities, tail dependence, and asymmetries in the conditional quantiles of financial returns. Using high frequency data that covers most liquid US stocks in seven sectors, we provide ample evidence of asymmetric conditional dependence with dif- ferent levels of dependence, which are characteristic for each industry. The backtesting results of estimated VaR favour our approach. Pracoviště Ústav teorie informace a automatizace Kontakt Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Rok sběru 2018
Počet záznamů: 1