VAR for VaR: measuring tail dependence using multivariate regression quantiles (Q494385): Difference between revisions
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| Property / author: Halbert White / rank | |||
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| Property / Mathematics Subject Classification ID: 62P20 / rank | |||
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| Property / Mathematics Subject Classification ID: 62M10 / rank | |||
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| Property / zbMATH DE Number: 6477244 / rank | |||
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quantile impulse-responses | |||
| Property / zbMATH Keywords: quantile impulse-responses / rank | |||
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spillover | |||
| Property / zbMATH Keywords: spillover / rank | |||
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codependence | |||
| Property / zbMATH Keywords: codependence / rank | |||
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CAViaR | |||
| Property / zbMATH Keywords: CAViaR / rank | |||
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Revision as of 22:37, 30 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | VAR for VaR: measuring tail dependence using multivariate regression quantiles |
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VAR for VaR: measuring tail dependence using multivariate regression quantiles (English)
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1 September 2015
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quantile impulse-responses
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spillover
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codependence
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CAViaR
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