Panel quantile regressions for estimating and predicting the value‐at‐risk of commodities
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DOI: 10.1002/fut.22017
Abstract: This paper investigates how realized and option implied volatilities are related to the future quantiles of commodity returns. Whereas realized volatility measures ex-post uncertainty, volatility implied by option prices reveals the market's expectation and is… read more here.
Keywords: panel; estimating predicting; panel quantile; risk ... See more keywords