| bibtype |
J -
Journal Article
|
| ARLID |
0533565 |
| utime |
20240103224611.7 |
| mtime |
20201026235959.9 |
| SCOPUS |
85084595565 |
| WOS |
000618640300001 |
| DOI |
10.1016/j.finmar.2020.100562 |
| title
(primary) (eng) |
Measurement of common risks in tails: A panel quantile regression model for financial returns |
| specification |
| page_count |
23 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0258506 |
| ISSN |
1386-4181 |
| title
|
Journal of Financial Markets |
| volume_id |
52 |
| publisher |
|
|
| keyword |
Panel quantile regression |
| keyword |
Realized measures |
| keyword |
Value-at-risk |
| author
(primary) |
| ARLID |
cav_un_auth*0242028 |
| name1 |
Baruník |
| name2 |
Jozef |
| institution |
UTIA-B |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| full_dept |
Department of Econometrics |
| country |
CZ |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0344057 |
| name1 |
Čech |
| name2 |
František |
| institution |
UTIA-B |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| full_dept |
Department of Econometrics |
| country |
CZ |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| source |
|
| cas_special |
| project |
| project_id |
GX19-28231X |
| agency |
GA ČR |
| country |
CZ |
| ARLID |
cav_un_auth*0385135 |
|
| abstract
(eng) |
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. |
| result_subspec |
WOS |
| RIV |
AH |
| FORD0 |
50000 |
| FORD1 |
50200 |
| FORD2 |
50202 |
| reportyear |
2022 |
| num_of_auth |
2 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0311940 |
| mrcbC61 |
1 |
| cooperation |
| ARLID |
cav_un_auth*0359004 |
| name |
IES FSV UK |
| country |
CZ |
|
| confidential |
S |
| article_num |
100562 |
| mrcbC86 |
1 Article Business Finance |
| mrcbC91 |
C |
| mrcbT16-e |
BUSINESSFINANCE |
| mrcbT16-j |
1.502 |
| mrcbT16-s |
1.661 |
| mrcbT16-D |
Q2 |
| mrcbT16-E |
Q1 |
| arlyear |
2021 |
| mrcbU14 |
85084595565 SCOPUS |
| mrcbU24 |
PUBMED |
| mrcbU34 |
000618640300001 WOS |
| mrcbU63 |
cav_un_epca*0258506 Journal of Financial Markets 1386-4181 1878-576X Roč. 52 č. 1 2021 Elsevier |
|