Quantile regression offers a versatile framework for characterising the full conditional distribution of a response variable by modelling specified quantiles rather than the mean alone. This approach ...

In this paper we propose a semi-parametric, parsimonious value-at-risk forecasting model based on quantile regression and readily available market prices of option contracts from the over-the-counter ...

This paper examines a set of value-at-risk (VaR) models and their ability to appropriately describe and capture price-change risk in the European energy market. We make in-sample, one-day-ahead VaR ...