Title: Semi-parametric realized nonlinear conditional autoregressive expectile and expected shortfall models
Authors: Chao Wang - The University of Sydney (Australia) [presenting]
Richard Gerlach - University of Sydney (Australia)
Abstract: A joint conditional autoregressive expectile and expected shortfall framework is proposed. The framework is extended through incorporating a measurement equation which models the contemporaneous dependence between the realized measures and the latent conditional expectile. Nonlinear threshold specification is further incorporated into the proposed framework. A Bayesian Markov Chain Monte Carlo method is adapted for estimation, whose properties are assessed and compared with maximum likelihood via a simulation study. One-day-ahead VaR and ES forecasting studies, with seven market indices and two individual assets, provide empirical support to the proposed models.