Přehled o publikaci
2022
Predicting Extreme Quantiles of Financial Returns: The Role and Information Content of Market Liquidity
STAŠEK, DanielBasic information
Original name
Predicting Extreme Quantiles of Financial Returns: The Role and Information Content of Market Liquidity
Authors
STAŠEK, Daniel
Edition
Brno, 12 pp. preprint, 2022
Publisher
Interní grantová agentura MU
Other information
Language
English
Type of outcome
Research report
Country of publisher
Czech Republic
Confidentiality degree
is not subject to a state or trade secret
References:
Organization
Ekonomicko-správní fakulta – Repository – Repository
Keywords in English
Realized volatility; value-at-risk; liquidity measures; forecasting; quantile regression
Links
EF19_073/0016943, research and development project. MUNI/IGA/1116/2021, interní kód Repo.
Changed: 1/4/2023 04:06, RNDr. Daniel Jakubík
Abstract
V originále
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.
