A parsimonious quantile regression model to forecast day-ahead value-at-risk
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DOI: 10.1016/j.frl.2015.12.006
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Citations
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- Mehmet Balcilar & Elie Bouri & Rangan Gupta & Christian Pierdzioch, 2021. "El Nino, La Nina, and the Forecastability of the Realized Variance of Heating Oil Price Movements," Working Papers 202138, University of Pretoria, Department of Economics.
- Juan Ignacio Pe~na & Rosa Rodriguez & Silvia Mayoral, 2022. "Tail Risk of Electricity Futures," Papers 2202.01732, arXiv.org.
- Gkillas, Konstantinos & Gupta, Rangan & Pierdzioch, Christian, 2020.
"Forecasting realized gold volatility: Is there a role of geopolitical risks?,"
Finance Research Letters, Elsevier, vol. 35(C).
- Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2019. "Forecasting Realized Gold Volatility: Is there a Role of Geopolitical Risks?," Working Papers 201943, University of Pretoria, Department of Economics.
- Lyócsa, Štefan & Todorova, Neda & Výrost, Tomáš, 2021. "Predicting risk in energy markets: Low-frequency data still matter," Applied Energy, Elsevier, vol. 282(PA).
- Ewald, Christian & Hadina, Jelena & Haugom, Erik & Lien, Gudbrand & Størdal, Ståle & Yahya, Muhammad, 2023. "Sample frequency robustness and accuracy in forecasting Value-at-Risk for Brent Crude Oil futures," Finance Research Letters, Elsevier, vol. 58(PA).
- Huang, Jiefei & Xu, Yang & Song, Yuping, 2022. "A high-frequency approach to VaR measures and forecasts based on the HAR-QREG model with jumps," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 608(P1).
- Garcia-Jorcano, Laura & Sanchis-Marco, Lidia, 2021. "Systemic-systematic risk in financial system: A dynamic ranking based on expectiles," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 330-365.
- Westgaard, Sjur & Fleten, Stein-Erik & Negash, Ahlmahz & Botterud, Audun & Bogaard, Katinka & Verling, Trude Haugsvaer, 2021. "Performing price scenario analysis and stress testing using quantile regression: A case study of the Californian electricity market," Energy, Elsevier, vol. 214(C).
- Lyócsa, Štefan & Todorova, Neda, 2021. "What drives volatility of the U.S. oil and gas firms?," Energy Economics, Elsevier, vol. 100(C).
- Haugom, Erik & Ray, Rina, 2017. "Heterogeneous traders, liquidity, and volatility in crude oil futures market," Journal of Commodity Markets, Elsevier, vol. 5(C), pages 36-49.
- Ruchika Sehgal & Aparna Mehra, 2023. "Quantile Regression Based Enhanced Indexing with Portfolio Rebalancing," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 21(3), pages 721-742, September.
- Kao, Wei-Shun & Lin, Chu-Hsiung & Changchien, Chang-Cheng & Wu, Chien-Hui, 2017. "Return distribution, leverage effect and spot-futures spread on the hedging effectiveness," Finance Research Letters, Elsevier, vol. 22(C), pages 158-162.
- Lyócsa, Štefan & Plíhal, Tomáš & Výrost, Tomáš, 2024. "Forecasting day-ahead expected shortfall on the EUR/USD exchange rate: The (I)relevance of implied volatility," International Journal of Forecasting, Elsevier, vol. 40(4), pages 1275-1301.
- Zou, Yingchao & Yu, Lean & Tso, Geoffrey K.F. & He, Kaijian, 2020. "Risk forecasting in the crude oil market: A multiscale Convolutional Neural Network approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 541(C).
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More about this item
Keywords
Heterogeneous investors; HAR-QREG/Quantile regression; Risk management; Value-at-risk; Volatility;All these keywords.
JEL classification:
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
- G29 - Financial Economics - - Financial Institutions and Services - - - Other
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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