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A Quantile Regression Approach to Estimating the Distribution of Multiperiod Returns

Abstract:

Time-varying and stochastic volatility, non-lognormaility, mean reversion, price jumps, and non-zero correlation between volatility changes and asset returns all characterize asset returns, at least in some markets and some time periods. This can make accurately estimating the location of the tail of a returns distribution, as in a Value at Risk calculation, exceedingly difficult, especially when multiperiod returns distribution, as in a value at risk calculation, exceedingly difficult, espec...

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Publication date:
1999-01-01
URN:
uuid:d1cddd3c-9504-4acf-80e5-74c22684d5a7
Local pid:
oai:eureka.sbs.ox.ac.uk:1735

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