Bayesian tail risk interdependence using quantile regression
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Cites work
- scientific article; zbMATH DE number 1614382 (Why is no real title available?)
- scientific article; zbMATH DE number 48318 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- A simple and efficient simulation smoother for state space time series analysis
- Bayesian Analysis of Time-Varying Quantiles Using a Smoothing Spline
- Bayesian Semiparametric Median Regression Modeling
- Bayesian forecasting for financial risk management, pre and post the global financial crisis
- Bayesian quantile regression
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- Comment on article by Lum and Gelfand
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- Gibbs sampling methods for Bayesian quantile regression
- LOCAL LINEAR FORECASTS USING CUBIC SMOOTHING SPLINES
- Markov chain Monte Carlo in conditionally Gaussian state space models
- Nonparametric multivariate kurtosis and tailweight measures
- On Gibbs sampling for state space models
- Partially Collapsed Gibbs Samplers
- Posterior consistency of Bayesian quantile regression based on the misspecified asymmetric Laplace density
- Predicting extreme value at risk: nonparametric quantile regression with refinements from extreme value theory
- Prediction in several conventional contexts
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- Quantiles, expectiles and splines
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- Risk measures for skew normal mixtures
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- Simultaneous linear quantile regression: a semiparametric Bayesian approach
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- Spatial quantile multiple regression using the asymmetric Laplace process
- Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
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Cited in
(18)- Bayesian Quantile Regression for Big Data Analysis
- Modeling tail risks of inflation using unobserved component quantile regressions
- Bayesian mixed-frequency quantile vector autoregression: eliciting tail risks of monthly US GDP
- On the \(L_p\)-quantiles for the Student \(t\) distribution
- Time-varying quantile association regression model with applications to financial contagion and VaR
- Capturing deep tail risk via sequential learning of quantile dynamics
- Marginal M-quantile regression for multivariate dependent data
- Joint estimation of conditional quantiles in multivariate linear regression models with an application to financial distress
- Financial risk management based on quantile regression model
- Bayesian scale mixtures of normals linear regression and Bayesian quantile regression with big data and variable selection
- Bayesian binary quantile regression for the analysis of bachelor-to-master transition
- Covar of families of copulas
- Bayesian quantile regression using the skew exponential power distribution
- Quantile hidden semi-Markov models for multivariate time series
- Unified Bayesian conditional autoregressive risk measures using the skew exponential power distribution
- Two-part quantile regression models for semi-continuous longitudinal data: a finite mixture approach
- Truncation invariant copulas and a testing procedure
- Fully Bayesian estimation of simultaneous regression quantiles under asymmetric Laplace distribution specification
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