505 citations · 1k across the 23 of their papers we have counts for
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q-fin.ST2017
Forecasting dynamic return distributions based on ordered binary choice
Stanislav Anatolyev, Jozef Barunik
We present a simple approach to forecasting conditional probability distributions of asset returns. We work with a parsimonious specification of ordered binary choice regression th…
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…