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A Quantile Regression Approach to Estimating the Distribution of Multiperiod Returns
13 references·16 citing·36 second hop
A Quantile Regression Approach to Estimating the Distribution of Multiperiod Returns (1999)A Quantile Regression Approach to Estimat…The Message in Daily Exchange Rates (2002)The Message in Daily Exchange…Value at Risk When Daily Changes in Market Variables are not Normally Distributed (1998)Value at Risk When Daily Chan…Forecasting Volatility (1997)Forecasting VolatilityEstimating the Probability Distribution of the Future Exchange Rate from Option Prices (1997)Estimating the Probability Di…An Overview of Value at Risk (1997)An Overview of Value at RiskPredicting Volatility in the Foreign Exchange Market (1995)Predicting Volatility in the …Conditional volatility and the informational efficiency of the PHLX currency options market (1995)Conditional volatility and th…Autoregressive Conditional Density Estimation (1994)Autoregressive Conditional De…Prediction in dynamic models with time-dependent conditional variances (1992)Prediction in dynamic models …The Message in Daily Exchange Rates: A Conditional-Variance Tale (1989)The Message in Daily Exchange…Invited review combining forecasts—twenty years later (1989)Invited review combining fore…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Soft computing hybrids for FOREX rate prediction: A comprehensive review (2018)Soft computing hybrids for FO…Judicial efficiency and capital structure: An international study (2017)Judicial efficiency and capit…Quantile autoregression neural network model with applications to evaluating value at risk (2016)Quantile autoregression neura…Systemic risk and asymmetric responses in the financial industry (2015)Systemic risk and asymmetric …Predicting asset returns in the BRICS: The role of macroeconomic and fundamental predictors (2015)Predicting asset returns in t…Good for one, bad for all: Determinants of individual versus systemic risk (2013)Good for one, bad for all: De…Quantile Regression Estimator for GARCH Models (2012)Quantile Regression Estimator…On downside risk predictability through liquidity and trading activity: A dynamic quantile approach (2012)On downside risk predictabili…Estimating value at risk with semiparametric support vector quantile regression (2011)Estimating value at risk with…Efficiency under quantile regression: What is the relationship with risk in the EU banking industry? (2011)Efficiency under quantile reg…A hybrid bankruptcy prediction model with dynamic loadings on accounting-ratio-based and market-based information: A binary quantile regression approach (2010)A hybrid bankruptcy predictio…Quantile regression analysis of hedge fund strategies (2008)Quantile regression analysis …Volatility forecasting with smooth transition exponential smoothing (2004)Volatility forecasting with s…Evaluation and Combination of Conditional Quantile Forecasts (2002)Evaluation and Combination of…Conditional value-at-risk: Aspects of modeling and estimation (2002)Conditional value-at-risk: As…Conditional Value-at-Risk: Aspects of Modeling and Estimation (2001)Conditional Value-at-Risk: As…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Evaluating the predictive accuracy of volatility models (2001)Forecasting volatility in the New Zealand stock market (2002)The intertemporal relation between expected returns and risk (2007)The Combination of Forecasts (1969)Time Series Analysis Forecasting and Control. (1971)To combine or not to combine? issues of combining forecasts (1992)Evaluation and Combination of Conditional Quantile Forecasts (2005)Least-squares forecast averaging (2008)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Modeling and pricing long memory in stock market volatility (1996)The econometrics of financial markets (1996)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Testing for a Unit Root in Time Series Regression (1988)Bivariate garch estimation of the optimal commodity futures Hedge (1991)ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING (1993)Modeling and Forecasting Realized Volatility (2001)The Pricing of Options and Corporate Liabilities (1973)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns (2001)Application of neural networks to an emerging financial market: forecasting and trading the Taiwan Stock Index (2002)Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements (2003)Econometric Analysis of Cross Section and Panel Data (2001)Portfolio optimization with conditional value-at-risk objective and constraints (2001)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Market Risk and Model Risk for a Financial Institution Writing Options (1999)Measuring and forecasting S&P 500 index‐futures volatility using high‐frequency data (2002)Practical Issues in Forecasting Volatility (2005)Inequality Constraints in the Univariate GARCH Model (1992)MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY (1994)From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (1997)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1994Autoregressive Conditional Density Estimation1,580 cited
  • 1997An Overview of Value at Risk1,320 cited
  • 2002The Message in Daily Exchange Rates791 cited
  • 1995Predicting Volatility in the Foreign Exchange Market723 cited
  • 1989The Message in Daily Exchange Rates: A Conditional-Variance Tale647 cited
  • 1989Invited review combining forecasts—twenty years later321 cited
  • 1997Forecasting Volatility283 cited
  • 1992Prediction in dynamic models with time-dependent conditional variances280 cited
  • 1998Value at Risk When Daily Changes in Market Variables are not Normally Distributed257 cited
  • 1997Estimating the Probability Distribution of the Future Exchange Rate from Option Prices239 cited
  • 1995Conditional volatility and the informational efficiency of the PHLX currency options market138 cited

Cited by

  • 2002Conditional value-at-risk: Aspects of modeling and estimation130 cited
  • 2004Volatility forecasting with smooth transition exponential smoothing

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122 cited
  • 2010A hybrid bankruptcy prediction model with dynamic loadings on accounting-ratio-based and market-based information: A binary quantile regression approach102 cited
  • 2018Soft computing hybrids for FOREX rate prediction: A comprehensive review93 cited
  • 2008Quantile regression analysis of hedge fund strategies77 cited
  • 2017Judicial efficiency and capital structure: An international study71 cited
  • 2013Good for one, bad for all: Determinants of individual versus systemic risk64 cited
  • 2002Evaluation and Combination of Conditional Quantile Forecasts62 cited
  • 2015Systemic risk and asymmetric responses in the financial industry57 cited
  • 2012On downside risk predictability through liquidity and trading activity: A dynamic quantile approach56 cited
  • 2016Quantile autoregression neural network model with applications to evaluating value at risk56 cited
  • 2001Conditional Value-at-Risk: Aspects of Modeling and Estimation48 cited
  • 2012Quantile Regression Estimator for GARCH Models47 cited
  • 2011Efficiency under quantile regression: What is the relationship with risk in the EU banking industry?38 cited
  • 2015Predicting asset returns in the BRICS: The role of macroeconomic and fundamental predictors33 cited
  • 2011Estimating value at risk with semiparametric support vector quantile regression32 cited