Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F16%3A00434200" target="_blank" >RIV/67985556:_____/16:00434200 - isvavai.cz</a>

Alternative codes found

RIV/00216208:11230/16:10281368

Result on the web

<a href="http://dx.doi.org/10.1093/jjfinec/nbu029" target="_blank" >http://dx.doi.org/10.1093/jjfinec/nbu029</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1093/jjfinec/nbu029" target="_blank" >10.1093/jjfinec/nbu029</a>

Result language

angličtina

Original language name

Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility

Original language description

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.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

AH - Economics

OECD FORD branch

—

Project

<a href="/en/project/GA13-32263S" target="_blank" >GA13-32263S: Multivariate spectral analysis of financial markets</a><br>

Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2016

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Journal of Financial Econometrics

ISSN

1479-8409

e-ISSN

—

Volume of the periodical

14

Issue of the periodical within the volume

1

Country of publishing house

GB - UNITED KINGDOM

Number of pages

42

Pages from-to

185-226

UT code for WoS article

000369231300006

EID of the result in the Scopus database

2-s2.0-84964589288