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.

Realized peaks over threshold: A time-varying extreme value approach with high-frequency-based measures / Bee, Marco; Dupuis, Debbie J; Trapin, Luca. - In: JOURNAL OF FINANCIAL ECONOMETRICS. - ISSN 1479-8409. - STAMPA. - 17:2(2019), pp. 254-283. [10.1093/jjfinec/nbz003]

Realized peaks over threshold: A time-varying extreme value approach with high-frequency-based measures

Trapin, Luca
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.
2019
Realized peaks over threshold: A time-varying extreme value approach with high-frequency-based measures / Bee, Marco; Dupuis, Debbie J; Trapin, Luca. - In: JOURNAL OF FINANCIAL ECONOMETRICS. - ISSN 1479-8409. - STAMPA. - 17:2(2019), pp. 254-283. [10.1093/jjfinec/nbz003]
Bee, Marco; Dupuis, Debbie J; Trapin, Luca
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/714981
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