in Journal of Financial Econometrics
December 2015; p ublished online October 2014 .
Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Single Equation Models; Single Variables; Financial Forecasting and Simulation; Corporate Governance. 14414 words.
This paper investigates how the conditional quantiles of future returns and volatility of financial assets vary with various measures of ex post variation in asset prices as well as...