Markov regime-switching quantile regression models and financial contagion detection
DOI10.1016/J.INSMATHECO.2015.11.002zbMATH Open1348.62251OpenAlexW2235593455MaRDI QIDQ282262FDOQ282262
Authors: Wuyi Ye, Yangguang Zhu, Yuehua Wu, Baiqi Miao 
Publication date: 12 May 2016
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.11.002
Recommendations
- Markov switching quantile regression models with time-varying transition probabilities
- Time-varying quantile association regression model with applications to financial contagion and VaR
- Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis
- Measuring contagion of subprime crisis based on MVMQ-CAViaR method
- Markov switching models in empirical finance
Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
Cites Work
- Regression Quantiles
- Estimation of Markov regime-switching regression models with endogenous switching
- A Markov model for switching regressions
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Goodness of Fit and Related Inference Processes for Quantile Regression
- Title not available (Why is that?)
- The Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimes
- Quantile smoothing splines
- Quantitative risk management. Concepts, techniques and tools
- A Three-Parameter Asymmetric Laplace Distribution and Its Extension
- Spatial contagion between financial markets: a copula-based approach
- A Regime-Switching Model of Long-Term Stock Returns
Cited In (11)
- Time-varying quantile association regression model with applications to financial contagion and VaR
- Dynamic correlation of quantile regression model based on smooth transition mechanism
- Title not available (Why is that?)
- Title not available (Why is that?)
- Maximum likelihood estimation for quantile autoregression models with Markovian switching
- Markov-switching quantile autoregression: a Gibbs sampling approach
- Quantile hidden semi-Markov models for multivariate time series
- Expectile hidden Markov regression models for analyzing cryptocurrency returns
- Dealing with Markov-switching parameters in quantile regression models
- Markov switching quantile regression models with time-varying transition probabilities
- Hidden semi-Markov-switching quantile regression for time series
Uses Software
This page was built for publication: Markov regime-switching quantile regression models and financial contagion detection
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q282262)
