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dc.contributor.author | Bleher, Johannes | es_ES |
dc.contributor.author | Dimpfl, Thomas | es_ES |
dc.contributor.author | Koch, Sophia | es_ES |
dc.date.accessioned | 2024-01-10T13:06:20Z | |
dc.date.available | 2024-01-10T13:06:20Z | |
dc.date.issued | 2023-09-22 | |
dc.identifier.isbn | 9788413960869 | |
dc.identifier.uri | http://hdl.handle.net/10251/201707 | |
dc.description.abstract | [EN] This paper presents a method for estimating the conditional and joint probability densities of multiple random variables using quantile regression, established by Koenker and Bassett (1978), for which the statistical inference has been extended to the field of time series analysis by Koenker and Xiao (2006). We provide a simple and robust framework for estimating auto-regressive, conditional densities, allowing for inference not only on the conditional density itself but also on functions of the modeled random variables, such as option prices. In our application, we demonstrate theoretically, via a simulation study and in out-of-the-sample density forecasts the effectiveness of our approach in estimating option prices with confidence bounds implied by the estimation method. Our findings suggest that quantile autoregression is effective in forecasting conditional densities and can be used for option pricing. The flexibility of our method in incorporating conditioning information, such as past returns or volatility, has the potential to further improve forecasting accuracy. | es_ES |
dc.language | Inglés | es_ES |
dc.publisher | Editorial Universitat Politècnica de València | es_ES |
dc.relation.ispartof | 5th International Conference on Advanced Research Methods and Analytics (CARMA 2023) | |
dc.rights | Reconocimiento - No comercial - Compartir igual (by-nc-sa) | es_ES |
dc.subject | Quantile Regression | es_ES |
dc.subject | Conditional Density Forecasts | es_ES |
dc.subject | Option Pricing | es_ES |
dc.title | Density Forecasts with Quantile Autoregression with an Application to Option Pricing | es_ES |
dc.type | Capítulo de libro | es_ES |
dc.type | Comunicación en congreso | es_ES |
dc.rights.accessRights | Abierto | es_ES |
dc.description.bibliographicCitation | Bleher, J.; Dimpfl, T.; Koch, S. (2023). Density Forecasts with Quantile Autoregression with an Application to Option Pricing. Editorial Universitat Politècnica de València. 279-280. http://hdl.handle.net/10251/201707 | es_ES |
dc.description.accrualMethod | OCS | es_ES |
dc.relation.conferencename | CARMA 2023 - 5th International Conference on Advanced Research Methods and Analytics | es_ES |
dc.relation.conferencedate | Junio 28-30, 2023 | es_ES |
dc.relation.conferenceplace | Sevilla, España | es_ES |
dc.relation.publisherversion | http://ocs.editorial.upv.es/index.php/CARMA/CARMA2023/paper/view/16435 | es_ES |
dc.description.upvformatpinicio | 279 | es_ES |
dc.description.upvformatpfin | 280 | es_ES |
dc.type.version | info:eu-repo/semantics/publishedVersion | es_ES |
dc.relation.pasarela | OCS\16435 | es_ES |