Reduced form vector directional quantiles (Q2359673)

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Reduced form vector directional quantiles
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    Statements

    title
    Reduced form vector directional quantiles (English)
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    publication date
    22 June 2017
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    zbMATH Keywords
    credit default swaps
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    multivariate quantiles
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    multivariate time-series
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    vector autoregression
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    Identifiers

    Mathematics Subject Classification ID
    62H05
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    62G08
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    62G30
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    62G20
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    62M10
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    62P05
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    zbMATH DE Number
    6734495
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