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@misc{53486, author = {Stašek, Daniel}, address = {Brno}, keywords = {Realized volatility; value-at-risk; liquidity measures; forecasting; quantile regression}, language = {eng}, location = {Brno}, publisher = {Interní grantová agentura MU}, title = {Predicting Extreme Quantiles of Financial Returns: The Role and Information Content of Market Liquidity}, url = {https://www.muni.cz/en/research/projects/63805}, year = {2022} }
TY - GEN ID - 53486 AU - Stašek, Daniel PY - 2022 TI - Predicting Extreme Quantiles of Financial Returns: The Role and Information Content of Market Liquidity VL - preprint PB - Interní grantová agentura MU CY - Brno KW - Realized volatility KW - value-at-risk KW - liquidity measures KW - forecasting KW - quantile regression UR - https://www.muni.cz/en/research/projects/63805 N2 - An accurate estimation of uncertainty related to the prices of financial assets is among the main interests of researchers and practitioners. Due to the ever changing nature of financial markets, it is still a challenge to find good explanatory variables of the market risks. Within these, we show that the liquidity measures bear useful information content related to the forecasts of extreme quantiles of price returns. In addition, we demonstrate the liquidity explanatory power to differ with the size of market capitalization on total sample of 190 companies. Lastly, we provide an evidence on the issue of mutual interchangeability of liquidity benchmarks and liquidity proxies. ER -
STAŠEK, Daniel. \textit{Predicting Extreme Quantiles of Financial Returns: The Role and Information Content of Market Liquidity}. Brno: Interní grantová agentura MU, 2022, 12 pp. preprint.
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