Multivariate quantile impulse response functions

DOI10.1111/JTSA.12452MaRDI QIDQ5237529zbMATH OpenOpenAlexWikidataFDO

Authors Gabriel Montes-Rojas

Publication date 18 October 2019

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/jtsa.12452

zbMATH Keywords

vector autoregressionimpulse response functionsmultivariate quantilesmultivariate time-series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Cites work

• An Approach to Multivariate Covariate-Dependent Quantile Contours With Application to Bivariate Conditional Growth Charts
• Computing multiple-output regression quantile regions
• Conditional quantiles and tail dependence
• Multivariate quantiles and multiple-output regression quantiles: from \(L_{1}\) optimization to halfspace depth
• On directional multiple-output quantile regression
• Quantile Autoregression
• Quantile regression methods for recursive structural equation models
• Quantiles for finite and infinite dimensional data
• Reduced form vector directional quantiles
• The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
• Unit Root Quantile Autoregression Inference
• VAR for VaR: measuring tail dependence using multivariate regression quantiles
• Vector quantile regression: an optimal transport approach

Cited in

(8)

• Bayesian mixed-frequency quantile vector autoregression: eliciting tail risks of monthly US GDP
• Impulse response analysis in conditional quantile models with an application to monetary policy
• Estimating impulse-response functions for macroeconomic models using directional quantiles
• An impulse-response function for a VAR with multivariate GARCH-in-mean that incorporates direct and indirect transmission of shocks
• Identification of seasonal effects in impulse responses using score-driven multivariate location models
• Dynamic panel data quantile regression with network-linked fixed effects
• From beliefs to prices: analyzing how inflation expectations affect the inflation distribution
• Estimating a banking-macro model using a multi-regime VAR

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