Network quantile autoregression

DOI10.1016/j.jeconom.2019.04.034zbMath1452.62688OpenAlexW2581363723WikidataQ128073616 ScholiaQ128073616MaRDI QIDQ2323385

Hansheng Wang, Weining Wang, Xuening Zhu, Wolfgang Karl Härdle

Publication date: 2 September 2019

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2016-050.pdf

zbMATH Keywords

quantile regressionsocial networkautoregressionsystemic riskfinancial contagionshared ownership

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial networks (including contagion, systemic risk, regulation) (91G45)

Related Items

Lasso-driven inference in time and space, Bootstrap inference for network vector autoregression in large-scale social network, Nonconcave penalized estimation in sparse vector autoregression model, SONIC: social network analysis with influencers and communities, Huber estimation for the network autoregressive model, Community network auto-regression for high-dimensional time series, Network Functional Varying Coefficient Model, Graphical Assistant Grouped Network Autoregression Model: A Bayesian Nonparametric Recourse, Network vector autoregression with individual effects, Feature Screening for Network Autoregression Model, Testing Linearity for Network Autoregressive Models

Uses Software

• CAViaR

Cites Work

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