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Measurement of common risks in tails: A panel quantile regression model for financial returns
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SYSNO ASEP 0533565 Document Type J - Journal Article R&D Document Type Journal Article Subsidiary J Článek ve WOS Title Measurement of common risks in tails: A panel quantile regression model for financial returns Author(s) Baruník, Jozef (UTIA-B) RID, ORCID
Čech, František (UTIA-B) ORCIDNumber of authors 2 Article number 100562 Source Title Journal of Financial Markets. - : Elsevier - ISSN 1386-4181
Roč. 52, č. 1 (2021)Number of pages 23 s. Publication form Print - P Language eng - English Country NL - Netherlands Keywords Panel quantile regression ; Realized measures ; Value-at-risk Subject RIV AH - Economics OECD category Applied Economics, Econometrics R&D Projects GX19-28231X GA ČR - Czech Science Foundation (CSF) Method of publishing Limited access Institutional support UTIA-B - RVO:67985556 UT WOS 000618640300001 EID SCOPUS 85084595565 DOI 10.1016/j.finmar.2020.100562 Annotation 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. Workplace Institute of Information Theory and Automation Contact Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Year of Publishing 2022 Electronic address https://www.sciencedirect.com/science/article/pii/S1386418120300318
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