ISSN 0253-2778

CN 34-1054/N

open

Lp quantile regression with realized measure

  • A new financial risk model named Lp quantile regression with a realized measure (realized Lp quantile) was proposed. The realized measure and Lp quantiles were combined and Lp quantile were added to the measurement equation. The realized Lp quantile model is a generic model that includes realized quantile model and expectile model. An asymmetric exponential power distribution (AExpPow) was proposed to derive the formula of log-likelihood. And a simulation was conducted to justify the validity of the log-likelihood. Finally an empirical study was conducted to justify the validity of the realized Lp quantile. And some conclusions were drawn as follows: differfent power indices suit different data and different time-frequencies suit different realized measures, and higher frequency is not always better.
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