Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility
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"Semiparametric Conditional Quantile..." refers methods in this paper
...To test for equal predictive ability we use the Diebold & Mariano (1995) test with the Newey-West variance in the case of multi-step-ahead quantile forecasts....
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493 citations
"Semiparametric Conditional Quantile..." refers background or methods in this paper
...In a comparison with two competing models, the CAViaR of Engle and Manganelli (2004) and the lognormal-normal mixture of Andersen et al....
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...Given the recent evidence on the predictive power of contemporaneous jumps for future volatility (Andersen, Bollerslev & Diebold, 2007, Corsi, Pirino & Renò, 2010) and the finding of Todorov & Tauchen (2011) that prices and volatility tend to jump together seems to suggests that jumps may perhaps contain information about quantiles of future returns and volatility as well....
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...Inspired by the success of the of the heterogenous autoregressive model (HAR) for realized volatility developed by Corsi (2009) and extended by Andersen et al. (2007), we write the conditional α-quantile of the realized quadratic variation RVt+1,M as qα(RVt+1,M |Ωt) = β0(α)+βv1(α)′vt,M…...
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...This model can be viewed as an extension of the heterogeneous autoregression, originally proposed by Corsi (2009) for modeling the conditional mean of realized volatility, to conditional quantiles....
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...Following the suggestions of the referees, we compare the return regressions with the CAViaR model proposed by Engle and Manganelli (2004), augmented by the various realized measures and option-implied volatility, and the lognormal-normal mixture of Andersen et al....
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"Semiparametric Conditional Quantile..." refers background in this paper
...ion models. Besides modeling conditional quantiles of future returns, we propose simple models for the quantiles of future realized volatility. We follow Andersen, Bollerslev & Diebold (2007) and Bush et al. (2011) and consider a heterogeneous quantile autoregressive model (HQAR) with jumps and implied volatility. This model can be viewed as an extension of the heterogeneous autoregression, originally proposed ...
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