Time-varying quantile association regression model with applications to financial contagion and VaR

DOI10.1016/J.EJOR.2016.07.048MaRDI QIDQ1752286zbMATH OpenOpenAlexFDO

Authors Wuyi Ye, Kebing Luo, Xiaoquan Liu

Publication date 24 May 2018

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2016.07.048

zbMATH Keywords

copulafinancefinancial crisislocal polynomial regression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

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• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
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• Modeling by shortest data description
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• Regression Quantiles
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• Tail index estimation and an exponential regression model
• The contagion channels of July--August-2011 stock market crash: a DAG-copula based approach
• WAVELET TRANSFORMS FOR THE STATISTICAL ANALYSIS OF RETURNS GENERATING STOCHASTIC PROCESSES

Cited in

(11)

• Copula theory and probabilistic sensitivity analysis: is there a connection?
• Setting the margins of hang seng index futures on different positions using an APARCH-GPD model based on extreme value theory
• Network quantile autoregression
• Bayesian tail risk interdependence using quantile regression
• Markov regime-switching quantile regression models and financial contagion detection
• QUANTILE CORRELATIONS: UNCOVERING TEMPORAL DEPENDENCIES IN FINANCIAL TIME SERIES
• VAR for VaR: measuring tail dependence using multivariate regression quantiles
• Dynamic quantile function models
• Dynamic correlation of quantile regression model based on smooth transition mechanism
• Early warning of systemic risk in global banking: eigen-pair R number for financial contagion and market price-based methods
• Sectoral dependence and financial contagion in the BRICS grouping: an application of the r-vine copulas

Describes a project that uses

Uses Software

• CAViaR

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