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JEL: C21 - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions
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Journal Article

Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices Get access

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Jozef Baruník and Matěj Nevrla
Journal of Financial Econometrics, Volume 21, Issue 5, Autumn 2023, Pages 1590–1646, https://doi.org/10.1093/jjfinec/nbac017
Published: 11 June 2022
Journal Article

A Quantile Regression Approach to Estimate the Variance of Financial Returns Get access

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Dirk G Baur and Thomas Dimpfl
Journal of Financial Econometrics, Volume 17, Issue 4, Fall 2019, Pages 616–644, https://doi.org/10.1093/jjfinec/nby026
Published: 13 November 2018
Journal Article

Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility Get access

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Filip Žikeš and Jozef Baruník
Journal of Financial Econometrics, Volume 14, Issue 1, Winter 2016, Pages 185–226, https://doi.org/10.1093/jjfinec/nbu029
Published: 22 October 2014