Panel quantile regressions for estimating and predicting the value‐at‐risk of commodities

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F19%3A00507522" target="_blank" >RIV/67985556:_____/19:00507522 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11230/19:10395924
Result on the web
<a href="https://onlinelibrary.wiley.com/doi/full/10.1002/fut.22017?af=R" target="_blank" >https://onlinelibrary.wiley.com/doi/full/10.1002/fut.22017?af=R</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1002/fut.22017" target="_blank" >10.1002/fut.22017</a>

Result language
angličtina
Original language name
Panel quantile regressions for estimating and predicting the value‐at‐risk of commodities
Original language description
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.
Czech name
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Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
50206 - Finance

Project
<a href="/en/project/GA16-14151S" target="_blank" >GA16-14151S: Frequency dependent measurement of financial risk</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2019
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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