Realized extreme quantile: A joint model for conditional quantiles and measures of volatility with EVT refinements
已实现极端分位数：结合极值理论的条件分位数与波动率测度联合模型
Summary We propose a new framework exploiting realized measures of volatility to estimate and forecast extreme quantiles. Our realized extreme quantile (REQ) combines quantile regression with extreme value theory and uses a measurement equation that relates the realized measure to the latent conditional quantile. Model estimation is performed by quasi maximum likelihood, and a simulation experiment validates this estimator in finite samples. An extensive empirical analysis…