VAR for VaR: measuring tail dependence using multivariate regression quantiles
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Cites work
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- scientific article; zbMATH DE number 777596 (Why is no real title available?)
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- scientific article; zbMATH DE number 3336465 (Why is no real title available?)
- CONSISTENT SPECIFICATION TESTING WITH NUISANCE PARAMETERS PRESENT ONLY UNDER THE ALTERNATIVE
- Efficient estimation in dynamic conditional quantile models
- Efficient semiparametric seemingly unrelated quantile regression estimation
- Exogeneity
- Extremal quantile regression
- Inference for extremal conditional quantile models, with an application to market and birthweight risks
- Least absolute deviations estimation for the censored regression model
- Modeling and Forecasting Realized Volatility
- Nonlinear Dynamic Structures
- Nonlinear impulse response functions
- Nonparametric regression under qualitative smoothness assumptions
- Quantile Autoregression
- Quantile and probability curves without crossing
- Quantile cointegrating regression
- Quantile regression for dynamic panel data with fixed effects
- Quantile regression.
- Quasi-maximum likelihood estimation for conditional quantiles
- Regression Quantiles
- Robust penalized quantile regression estimation for panel data
- Semiparametric efficiency bound in time-series models for conditional quantiles
- Unit Root Quantile Autoregression Inference
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- Assessing interbank contagion using simulated networks
- A residual-based test for autocorrelation in quantile regression models
- A copula-based quantile model
- Network quantile autoregression
- Expectile hidden Markov regression models for analyzing cryptocurrency returns
- Reduced form vector directional quantiles
- A multivariate FGD technique to improve VaR computation in equity markets
- Multivariate tail estimation with application to analysis of CoVaR
- Impulse response analysis in conditional quantile models with an application to monetary policy
- Estimating impulse-response functions for macroeconomic models using directional quantiles
- The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
- A simulation-based method for estimating systemic risk measures
- Multivariate quantile impulse response functions
- Tail risk aversion and backwardation of index futures
- Semiparametric modeling of multiple quantiles
- Nonstationary nonlinear quantile regression
- How might sovereign bond yields in Asia Pacific react to US monetary normalisation under turbulent market conditions?
- Dynamic Vector Mode Regression
- Econometric modeling of risk measures: a selective review of the recent literature
- Factorisable multitask quantile regression
- HAC Covariance Matrix Estimation in Quantile Regression
- An exponentially weighted quantile regression via SVM with application to estimating multiperiod VaR
- VaR estimation based on quantile regression forest and risk factors analysis
- Tail maximal dependence in bivariate models: estimation and applications
- Forecasting Value at Risk and Expected Shortfall Using a Semiparametric Approach Based on the Asymmetric Laplace Distribution
- Dealing with Markov-switching parameters in quantile regression models
- Chi-Square quantile-based multivariate variance monitoring for individual observations
- Time-varying quantile association regression model with applications to financial contagion and VaR
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