Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Mixed-frequency quantile regression with realized volatility to forecast
  Value-at-Risk   The use of quantile regression to calculate risk measures has been widely
recognized in the financial econometrics literature. When data are observed at
mixed-frequency, the standard quantile regression models are no longer
adequate. In this paper, we develop a model built on a mixed-frequency quantile
regression to directly estimate the Value-at-Risk. In particular, the
low-frequency component incorporates information coming from variables observed
at, typically, monthly or lower frequencies, while the high-frequency component
can include a variety of daily variables, like realized volatility measures or
market indices. We derive the conditions for the weak stationarity of the daily
return process suggested while the finite sample properties are investigated in
an extensive Monte Carlo exercise. The validity of the proposed model is then
explored through a real data application using the most important financial
indexes. We show that our model outperforms other competing specifications,
using backtesting and Model Confidence Set procedures.

5
The categories of this paper are: gr-qc
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The categories of this paper are: astro-ph
16
The categories of this paper are: stat
30
The categories of this paper are: q-alg
36
The categories of this paper are: cmp-lg
31
The categories of this paper are: ao-sci
29
The categories of this paper are: funct-an
33
The categories of this paper are: plasm-ph
1
The categories of this paper are: cs
11
The categories of this paper are: hep-lat
24
The categories of this paper are: dg-ga
10
The categories of this paper are: q-bio
27
The categories of this paper are: comp-gas
25
The categories of this paper are: patt-sol
34
The categories of this paper are: chem-ph
20
The categories of this paper are: acc-phys