Measurement of common risks in tails: A panel 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_____%2F21%3A00533565" target="_blank" >RIV/67985556:_____/21:00533565 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11230/21:10411139
Result on the web
<a href="https://www.sciencedirect.com/science/article/pii/S1386418120300318" target="_blank" >https://www.sciencedirect.com/science/article/pii/S1386418120300318</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.finmar.2020.100562" target="_blank" >10.1016/j.finmar.2020.100562</a>
Alternative languages
Result language
angličtina
Original language name
Measurement of common risks in tails: A panel quantile regression model for financial returns
Original language description
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.
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/GX19-28231X" target="_blank" >GX19-28231X: DyMoDiF - Dynamic Models for the Digital Finance</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2021
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Journal of Financial Markets
ISSN
1386-4181
e-ISSN
1878-576X
Volume of the periodical
52
Issue of the periodical within the volume
1
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
23
Pages from-to
100562
UT code for WoS article
000618640300001
EID of the result in the Scopus database
2-s2.0-85084595565