英文标题：
《Semiparametric Conditional Quantile Models for Financial Returns and
  Realized Volatility》
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作者：
Filip Zikes and Jozef Barunik
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最新提交年份：
2013
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英文摘要：
  This paper investigates how the conditional quantiles of future returns and volatility of financial assets vary with various measures of ex-post variation in asset prices as well as option-implied volatility. We work in the flexible quantile regression framework and rely on recently developed model-free measures of integrated variance, upside and downside semivariance, and jump variation. Our results for the S&P 500 and WTI Crude Oil futures contracts show that simple linear quantile regressions for returns and heterogenous quantile autoregressions for realized volatility perform very well in capturing the dynamics of the respective conditional distributions, both in absolute terms as well as relative to a couple of well-established benchmark models. The models can therefore serve as useful risk management tools for investors trading the futures contracts themselves or various derivative contracts written on realized volatility.
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中文摘要：
本文研究了金融资产未来收益率和波动率的条件分位数如何随资产价格事后变动以及期权隐含波动率的各种度量而变化。我们在灵活的分位数回归框架中工作，并依赖于最近开发的无模型综合方差、上下半方差和跳跃方差度量。我们对标准普尔500指数和WTI原油期货合约的结果表明，收益率的简单线性分位数回归和已实现波动率的异质分位数自回归在捕捉各自条件分布的动态方面表现得非常好，无论是绝对值还是相对于两个成熟的基准模型。因此，这些模型可以作为有用的风险管理工具，供投资者自己交易期货合约或基于已实现波动率的各种衍生合约。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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