Reduced form vector directional quantiles

DOI10.1016/j.jmva.2017.03.007zbMath1369.62114MaRDI QIDQ2359673

Gabriel V. 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

vector autoregression; credit default swaps; multivariate quantiles; multivariate time-series

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G20: Asymptotic properties of nonparametric inference

62P05: Applications of statistics to actuarial sciences and financial mathematics

62H05: Characterization and structure theory for multivariate probability distributions; copulas

62G30: Order statistics; empirical distribution functions

Related Items

Multivariate Quantile Impulse Response Functions, Estimating impulse-response functions for macroeconomic models using directional quantiles

Uses Software

• CAViaR
• quantilogram

Cites Work

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