1 citations · 1 across the 2 of their papers we have counts for
Showing q-fin.STShow all
2 papers · 1 filter
q-fin.ST2020★ 1 cited
Mixed--frequency quantile regressions to forecast Value--at--Risk and Expected Shortfall
Vincenzo Candila, Giampiero M. Gallo, Lea Petrella
Although quantile regression to calculate risk measures has been widely established in the financial literature, when considering data observed at mixed--frequency, an extension is…
q-fin.ST2020
Doubly Multiplicative Error Models with Long- and Short-run Components
Alessandra Amendola, Vincenzo Candila, Fabrizio Cipollini +1
We suggest the Doubly Multiplicative Error class of models (DMEM) for modeling and forecasting realized volatility, which combines two components accommodating low-, respectively,…