Conditional quantiles and tail dependence

DOI10.1016/j.jmva.2015.01.011zbMath1320.62164OpenAlexW1967773668MaRDI QIDQ2350042

Carole Bernard, Claudia Czado

Publication date: 18 June 2015

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2015.01.011

zbMATH Keywords

copulaquantile regressionsystemic riskintermediate tail dependencelinear conditional quantiles

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Measures of association (correlation, canonical correlation, etc.) (62H20) Statistics of extreme values; tail inference (62G32)

Related Items

Reduced form vector directional quantiles, Dependence properties of conditional distributions of some copula models, Bivariate box plots based on quantile regression curves, Analyzing systemic risk using non-linear marginal expected shortfall and its minimum spanning tree, Estimating impulse-response functions for macroeconomic models using directional quantiles, Nonparametric C- and D-vine-based quantile regression, On peculiarities of\nobreakspace {}CoVaR-based portfolio\nobreakspace {}selection, Vine copula regression for observational studies, Liquidity tail risk and credit default swap spreads, On conditional value at risk (CoVaR) for tail-dependent copulas, Prediction based on conditional distributions of vine copulas, Assessing bivariate tail non-exchangeable dependence, D-vine copula based quantile regression, Multivariate Quantile Impulse Response Functions, Testing independence between exogenous variables and unobserved errors

Uses Software

• CAViaR
• QRM

Cites Work

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