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Realized Peaks over Threshold: A Time-Varying Extreme Value Approach with High-Frequency-Based Measures.
- Source :
- Journal of Financial Econometrics; Spring2019, Vol. 17 Issue 2, p254-283, 30p
- Publication Year :
- 2019
-
Abstract
- Recent contributions to the financial econometrics literature exploit high-frequency (HF) data to improve models for daily asset returns. This paper proposes a new class of dynamic extreme value models that profit from HF data when estimating the tails of daily asset returns. Our realized peaks-over-threshold approach provides estimates for the tails of the time-varying conditional return distribution. An in-sample fit to the S&P 500 index returns suggests that HF data convey information on daily extreme returns beyond that included in low frequency (LF) data. Finally, out-of-sample forecasts of conditional risk measures obtained with HF measures outperform those obtained with LF measures. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 14798409
- Volume :
- 17
- Issue :
- 2
- Database :
- Complementary Index
- Journal :
- Journal of Financial Econometrics
- Publication Type :
- Academic Journal
- Accession number :
- 135916662
- Full Text :
- https://doi.org/10.1093/jjfinec/nbz003