Time-varying quantile association regression model with applications to financial contagion and VaR
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Publication:1752286
DOI10.1016/j.ejor.2016.07.048zbMath1394.62152OpenAlexW2504214920MaRDI QIDQ1752286
Kebing Luo, Wuyi Ye, 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
Nonparametric regression and quantile regression (62G08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32)
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Uses Software
Cites Work
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