Title: Realized peaks-over-threshold: A time-varying extreme value approach with high-frequency based measures
Authors: Marco Bee - University of Trento (Italy)
Debbie Dupuis - HEC Montreal (Canada) [presenting]
Luca Trapin - University of Bologna (Italy)
Abstract: Recent contributions to the financial econometrics literature exploit high-frequency (HF) data to improve models for daily asset returns. A new class of dynamic extreme value models is proposed 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\&P500 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.