Measuring contagion of subprime crisis based on MVMQ-CAViaR method

DOI10.1155/2014/386875zbMATH Open1422.91818OpenAlexW2061996098WikidataQ59039079 ScholiaQ59039079MaRDI QIDQ2321389FDOQ2321389

Wuyi Ye, Shaofu Du, Kebing Luo

Publication date: 23 August 2019

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/386875

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Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Actuarial science and mathematical finance (91G99)

Cites Work

• Regression Quantiles
• Goodness of Fit and Related Inference Processes for Quantile Regression
• Bayesian quantile regression
• ARCH modeling in finance. A review of the theory and empirical evidence
• CONSISTENT SPECIFICATION TESTING WITH NUISANCE PARAMETERS PRESENT ONLY UNDER THE ALTERNATIVE
• A Three-Parameter Asymmetric Laplace Distribution and Its Extension
• A wavelet-based approach to test for financial market contagion
• Measuring the subprime crisis contagion: evidence of change point analysis of copula functions
• Market linkages, variance spillovers, and correlation stability: empirical evidence of financial contagion
• Long Memory in Economics
• Title not available (Why is that?)
• Volatility spillovers, interdependence and comovements: a Markov switching approach

Uses Software

• CAViaR

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