Measurement of common risks in tails: A panel quantile regression model for financial returns

0533565 - ÚTIA 2022 RIV NL eng J - Journal Article
Baruník, Jozef - Čech, František
Measurement of common risks in tails: A panel quantile regression model for financial returns.
Journal of Financial Markets. Roč. 52, č. 1 (2021), č. článku 100562. ISSN 1386-4181. E-ISSN 1878-576X
R&D Projects: GA ČR(CZ) GX19-28231X
Institutional support: RVO:67985556
Keywords : Panel quantile regression * Realized measures * Value-at-risk
OECD category: Applied Economics, Econometrics
Impact factor: 3.095, year: 2021
Method of publishing: Limited access
http://library.utia.cas.cz/separaty/2020/E/barunik-0533565.pdf https://www.sciencedirect.com/science/article/pii/S1386418120300318

We investigate how to measure common risks in the tails of return distributions using the recently proposed panel quantile regression model for financial returns. By exploring how volatility crosses all quantiles of the return distribution and using a fixed effects estimator, we can control for otherwise unobserved heterogeneity among financial assets. Direct benefits are revealed in a portfolio value-at-risk application, where our modeling strategy performs significantly better than several benchmark models. In particular, our results show that the panel quantile regression model for returns consistently outperforms all competitors in the left tail. Sound statistical performance translates directly into economic gains.
Permanent Link: http://hdl.handle.net/11104/0311940