2 papers
q-fin.RM2018
Panel quantile regressions for estimating and predicting the Value--at--Risk of commodities
František Čech, Jozef Baruník
This paper investigates how realized and option implied volatilities are related to the future quantiles of commodity returns. Whereas realized volatility measures ex-post uncertai…
q-fin.PR2017
Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns
Frantisek Cech, Jozef Barunik
This paper investigates how to measure common market risk factors using newly proposed Panel Quantile Regression Model for Returns. By exploring the fact that volatility crosses al…