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
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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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
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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