| bibtype |
J -
Journal Article
|
| ARLID |
0472346 |
| utime |
20240103213753.0 |
| mtime |
20170309235959.9 |
| SCOPUS |
85013269709 |
| WOS |
000394467800006 |
| DOI |
10.1515/snde-2016-0044 |
| title
(primary) (eng) |
Semiparametric nonlinear quantile regression model for financial returns |
| specification |
| page_count |
17 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0255788 |
| ISSN |
1081-1826 |
| title
|
Studies in Nonlinear Dynamics and Econometrics |
| volume_id |
21 |
| volume |
1 (2017) |
| page_num |
81-97 |
|
| keyword |
copula quantile regression |
| keyword |
realized volatility |
| keyword |
value-at-risk |
| author
(primary) |
| ARLID |
cav_un_auth*0294289 |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| full_dept |
Department of Econometrics |
| share |
50% |
| name1 |
Avdulaj |
| name2 |
Krenar |
| institution |
UTIA-B |
| country |
CZ |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0242028 |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| full_dept |
Department of Econometrics |
| share |
50% |
| name1 |
Baruník |
| name2 |
Jozef |
| institution |
UTIA-B |
| country |
CZ |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| ARLID |
cav_un_auth*0281000 |
| project_id |
GBP402/12/G097 |
| agency |
GA ČR |
| country |
CZ |
|
| abstract
(eng) |
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. |
| RIV |
AH |
| FORD0 |
50000 |
| FORD1 |
50200 |
| FORD2 |
50202 |
| reportyear |
2018 |
| num_of_auth |
2 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0271353 |
| cooperation |
| ARLID |
cav_un_auth*0308308 |
| name |
Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague |
| institution |
IES FSV UK |
| country |
CZ |
|
| confidential |
S |
| mrcbC86 |
3+4 Article|Proceedings Paper Economics|Social Sciences Mathematical Methods |
| mrcbC86 |
3+4 Article|Proceedings Paper Economics|Social Sciences Mathematical Methods |
| mrcbC86 |
3+4 Article|Proceedings Paper Economics|Social Sciences Mathematical Methods |
| mrcbT16-e |
ECONOMICS|SOCIALSCIENCESMATHEMATICALMETHODS |
| mrcbT16-j |
0.302 |
| mrcbT16-s |
0.668 |
| mrcbT16-B |
18.997 |
| mrcbT16-D |
Q4 |
| mrcbT16-E |
Q2 |
| arlyear |
2017 |
| mrcbU14 |
85013269709 SCOPUS |
| mrcbU24 |
PUBMED |
| mrcbU34 |
000394467800006 WOS |
| mrcbU63 |
cav_un_epca*0255788 Studies in Nonlinear Dynamics and Econometrics 1081-1826 1558-3708 Roč. 21 č. 1 2017 81 97 |
|