0434200 20240103204931.920141106235959.9 84964589288 000369231300006 10.1093/jjfinec/nbu029 42 s. P cav_un_epca*03445931479-8409141 (2016)185-226Oxford University Press conditional quantiles quantile regression realized measures value-at-risk cav_un_auth*0308943 Žikeš F. GB cav_un_auth*0242028 Ekonometrie Department of Econometrics E E Department of Econometrics 50 Baruník Jozef UTIA-B K Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2014/E/barunik-0434200.pdf cav_un_auth*0308905 612955 EC cav_un_auth*0292677 GA13-32263S GA ČR 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. AH 2017 2 4 A hod 4ah 4a 20231122140548.1 RVO:67985556 http://hdl.handle.net/11104/0238364 1 Department of Econometrics UTIA-B 50202 ECONOMICS S 1* Article Business Finance|Economics BUSINESS.FINANCE|ECONOMICS 2.000 0.208 9.5 0.00305 1.863 870 2.150 Q1 1.720 24 Q1 84.002 78.1 Q1 Q1 78.53 2016 Soubory v repozitáři: barunik-0434200.pdf, barunik-0434200.pdf 84964589288 SCOPUS 000369231300006 WOS cav_un_epca*0344593 Journal of Financial Econometrics 1479-8409 1479-8417 Roč. 14 č. 1 2016 185 226 Oxford University Press