| bibtype |
J -
Journal Article
|
| ARLID |
0507522 |
| utime |
20241106135742.0 |
| mtime |
20190812235959.9 |
| SCOPUS |
85070610508 |
| WOS |
000478444500001 |
| DOI |
10.1002/fut.22017 |
| title
(primary) (eng) |
Panel quantile regressions for estimating and predicting the value‐at‐risk of commodities |
| specification |
| page_count |
23 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0251244 |
| ISSN |
0270-7314 |
| title
|
Journal of Futures Markets |
| volume_id |
39 |
| volume |
9 (2019) |
| page_num |
1167-1189 |
| publisher |
|
|
| keyword |
implied volatility |
| keyword |
panel quantile regression |
| keyword |
realized volatility |
| keyword |
value‐at‐risk |
| author
(primary) |
| ARLID |
cav_un_auth*0344057 |
| full_dept |
Department of Econometrics |
| name1 |
Čech |
| name2 |
František |
| institution |
UTIA-B |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| country |
CZ |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0242028 |
| full_dept |
Department of Econometrics |
| name1 |
Baruník |
| name2 |
Jozef |
| institution |
UTIA-B |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| country |
CZ |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| source |
|
| cas_special |
| abstract
(eng) |
Using a flexible panel quantile regression framework, we show how the future conditional quantiles of commodities returns depend on both ex post and ex ante uncertainty. Empirical analysis of the most liquid commodities covering main sectors, including energy, food, agriculture, and precious and industrial metals, reveal several important stylized facts. We document common patterns of the dependence between future quantile returns and ex post as well as ex ante volatilities. We further show that the conditional returns distribution is platykurtic. The approach can serve as a useful risk management tool for investors interested in commodity futures contracts. |
| RIV |
AH |
| FORD0 |
50000 |
| FORD1 |
50200 |
| FORD2 |
50206 |
| reportyear |
2020 |
| num_of_auth |
2 |
| mrcbC52 |
4 A sml 4as 20241106135742.0 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0298673 |
| cooperation |
| ARLID |
cav_un_auth*0359004 |
| name |
IES FSV UK |
| country |
CZ |
|
| confidential |
S |
| contract |
| name |
COPYRIGHT TRANSFER AGREEMENT |
| date |
20190422 |
|
| mrcbC86 |
2 Article Business Finance |
| mrcbC91 |
A |
| mrcbT16-e |
BUSINESSFINANCE |
| mrcbT16-j |
0.406 |
| mrcbT16-s |
0.693 |
| mrcbT16-B |
25.814 |
| mrcbT16-D |
Q3 |
| mrcbT16-E |
Q2 |
| arlyear |
2019 |
| mrcbTft |
\nSoubory v repozitáři: barunik-0507522-LicenseCopy.pdf |
| mrcbU14 |
85070610508 SCOPUS |
| mrcbU24 |
PUBMED |
| mrcbU34 |
000478444500001 WOS |
| mrcbU63 |
cav_un_epca*0251244 Journal of Futures Markets 0270-7314 1096-9934 Roč. 39 č. 9 2019 1167 1189 Wiley |
|