High-Dimensional Quantile Vector Autoregression with Influencers and Communities
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Cites work
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- Nonlinear factor models for network and panel data
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- Smoothing Quantile Regressions
- SONIC: social network analysis with influencers and communities
- TENET: tail-event driven network risk
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- Towards a Unified Approach for Proving Geometric Ergodicity and Mixing Properties of Nonlinear Autoregressive Processes
- Universal latent space model fitting for large networks with edge covariates
- VAR for VaR: measuring tail dependence using multivariate regression quantiles
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