A semiparametric nonlinear quantile regression model for financial returns

DOI10.1515/snde-2016-0044OpenAlexW2564251721MaRDI QIDQ2691693

Krenar Avdulaj, Jozef Barunik

Publication date: 30 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2016-0044

zbMATH Keywords

value-at-riskrealized volatilitycopula quantile regression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Uses Software

• CAViaR

Cites Work

• Estimation of copula-based semiparametric time series models
• Quantile cointegrating regression
• Do high-frequency measures of volatility improve forecasts of return distributions?
• The Gaussian hare and the Laplacian tortoise: computability of squared-error versus absolute-error estimators. With comments by Ronald A. Thisted and M. R. Osborne and a rejoinder by the authors
• Quantile regression for longitudinal data
• An interior point algorithm for nonlinear quantile regression
• Improving point and interval estimators of monotone functions by rearrangement
• Copula-based nonlinear quantile autoregression
• Quantile and Probability Curves Without Crossing
• Non-Crossing Non-Parametric Estimates of Quantile Curves
• Regression Quantiles
• A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
• Modeling and Forecasting Realized Volatility

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