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Web appendix for the article A simple two-component model for intraday returns distribution
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(by Laura Coroneo and David Veredas)
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EACH PAGE CONTAINS:
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(1) Estimation Results : estimated coefficients for each quantile and conresponding standard error (se)
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tau
The quantile level
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cost
Constant
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lag1
Lagged absolute value of returns
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cos1
First cosine term of the Fourier series
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cos2
Second cosine term of the Fourier series
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cos3
Third cosine term of the Fourier series
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sin1
First sine term of the Fourier series
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sin2
First sine term of the Fourier series
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sin3
First sine term of the Fourier series
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(2) Quantile Crossing : number of times that two fitted quantiles cross
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No quantile crossing table = no crossings
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(3) Fit of the conditional quantiles (tau): Christoffersen tests
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(4) VaR forecasting performance (for the 5, 2.5 and 1 percent quantiles): Kupiec and Christoffersen tests
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StockTicker
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ACS Actividades de Costruccion y ServiciosACS
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AcerinoxACX
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AltadisALT
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AmadeusAMS
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AccionaANA
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Banco Bilbao Vizcaya ArgentariaBBVA
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BankinterBKT
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CarrefourCRF
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Grupo DragadosDRC
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EndesaELE
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Fomento de Construcciones y ContratasFCC
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FerrovialFER
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GamesaGAM
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IberdrolaIBE
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IndraIDR
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NH HotelsNHH
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Banco PopularPOP
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Red EléctricaREE
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Repsol YPFREP
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Banco SantanderSCH
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SogecableSGC
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TelefónicaTEF
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Telefonica MobilesTEM
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Telefonica Publicidad e InformacionTPI
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Unión FenosaUNF
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ZeltiaZEL
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