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

Kód výsledku v 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>

Nalezeny alternativní kódy

RIV/00216208:11230/16:10281368

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

—

Projekt

<a href="/cs/project/GA13-32263S" target="_blank" >GA13-32263S: Vícerozměrná spektrální analýza finančních trhů</a><br>

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2016

Kód důvěrnosti údajů

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

Název periodika

Journal of Financial Econometrics

ISSN

1479-8409

e-ISSN

—

Svazek periodika

14

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

GB - Spojené království Velké Británie a Severního Irska

Počet stran výsledku

42

Strana od-do

185-226

Kód UT WoS článku

000369231300006

EID výsledku v databázi Scopus

2-s2.0-84964589288