Reduced form vector directional quantiles

DOI10.1016/J.JMVA.2017.03.007MaRDI QIDQ2359673zbMATH OpenOpenAlexFDO

Authors Gabriel Montes-Rojas

Publication date 22 June 2017

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

Full work available at URL https://doi.org/10.1016/j.jmva.2017.03.007

zbMATH Keywords

credit default swapsmultivariate quantilesmultivariate time-seriesvector autoregression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Order statistics; empirical distribution functions (62G30) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• \(M\)-estimation, convexity and quantiles
• An Approach to Multivariate Covariate-Dependent Quantile Contours With Application to Bivariate Conditional Growth Charts
• Computing multiple-output regression quantile regions
• Conditional quantiles and tail dependence
• Identification in Nonseparable Models
• Modelling and forecasting government bond spreads in the euro area: a GVAR model
• Monge-Kantorovich depth, quantiles, ranks and signs
• Multivariate quantiles and multiple-output regression quantiles: from \(L_{1}\) optimization to halfspace depth
• On a Geometric Notion of Quantiles for Multivariate Data
• On directional multiple-output quantile regression
• Quantile Autoregression
• Quantile regression methods for recursive structural equation models
• Quantiles for finite and infinite dimensional data
• The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
• Threshold quantile autoregressive models
• VAR for VaR: measuring tail dependence using multivariate regression quantiles
• Vector quantile regression: an optimal transport approach

Cited in

(3)

• Estimating impulse-response functions for macroeconomic models using directional quantiles
• Multivariate quantile impulse response functions
• The application of multiple-output quantile regression to the US financial cycle

Describes a project that uses

Uses Software

• CAViaR
• quantilogram

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