KAEA-VSS: Empirical Macro-Finance seminar (Dec 17, 2020)
Presenter: Donggyu Kim (KAIST) (https://sites.google.com/site/donggyukim0329/) Title: Dynamic Realized Quantile Regression Models Abstract: Quantile regression models are widely used in the modern risk management. To capture quantile dynamics of stock returns, we often employ low-frequency information such as squared stock returns. However, in the high-frequency literature, it is well-studied that incorporating the high-frequency information such as realized […]