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Semiparametric nonlinear quantile regression model for financial returns

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F17%3A00472346" target="_blank" >RIV/67985556:_____/17:00472346 - isvavai.cz</a>

  • Result on the web

    <a href="http://dx.doi.org/10.1515/snde-2016-0044" target="_blank" >http://dx.doi.org/10.1515/snde-2016-0044</a>

  • DOI - Digital Object Identifier

    <a href="http://dx.doi.org/10.1515/snde-2016-0044" target="_blank" >10.1515/snde-2016-0044</a>

Alternative languages

  • Result language

    angličtina

  • Original language name

    Semiparametric nonlinear quantile regression model for financial returns

  • Original language description

    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.

  • Czech name

  • Czech description

Classification

  • Type

    J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database

  • CEP classification

  • OECD FORD branch

    50202 - Applied Economics, Econometrics

Result continuities

  • Project

    <a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>

  • Continuities

    P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Others

  • Publication year

    2017

  • Confidentiality

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

Data specific for result type

  • Name of the periodical

    Studies in Nonlinear Dynamics and Econometrics

  • ISSN

    1081-1826

  • e-ISSN

  • Volume of the periodical

    21

  • Issue of the periodical within the volume

    1

  • Country of publishing house

    US - UNITED STATES

  • Number of pages

    17

  • Pages from-to

    81-97

  • UT code for WoS article

    000394467800006

  • EID of the result in the Scopus database

    2-s2.0-85013269709