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Our realized extreme quantile (REQ) combines quantile regression with extreme value theory and uses a measurement equation that relates the realized measure to the latent conditional quantile. Model estimation is performed by quasi maximum likelihood, and a simulation experiment validates this estimator in finite samples. An extensive empirical analysis shows that high\u2010frequency measures are particularly informative of the dynamic quantiles. Finally, an out\u2010of\u2010sample forecast analysis of quantile\u2010based risk measures confirms the merit of the REQ.<\/jats:p>","DOI":"10.1002\/jae.2615","type":"journal-article","created":{"date-parts":[[2018,1,11]],"date-time":"2018-01-11T04:58:38Z","timestamp":1515646718000},"page":"398-415","source":"Crossref","is-referenced-by-count":11,"title":["Realized extreme quantile: A joint model for conditional quantiles and measures of volatility with EVT refinements"],"prefix":"10.1002","volume":"33","author":[{"given":"Marco","family":"Bee","sequence":"first","affiliation":[{"name":"Department of Economics and Management University of Trento Trento Italy"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Debbie J.","family":"Dupuis","sequence":"additional","affiliation":[{"name":"Department of Decision Sciences HEC Montreal, Montr\u00e9al Qu\u00e9bec Canada"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Luca","family":"Trapin","sequence":"additional","affiliation":[{"name":"Scuola Normale Superiore Pisa Italy"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2018,1,11]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00454"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214501750332965"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9868.00336"},{"key":"e_1_2_10_5_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA6495"},{"key":"e_1_2_10_6_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbh001"},{"key":"e_1_2_10_7_1","unstructured":"Bee M. 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