VAR for VaR: measuring tail dependence using multivariate regression quantiles
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Publication:494385
DOI10.1016/J.JECONOM.2015.02.004zbMATH Open1337.62385OpenAlexW2110994806MaRDI QIDQ494385FDOQ494385
Authors: Tae-Hwan Kim, Simone Manganelli, Halbert White 
Publication date: 1 September 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.02.004
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
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Cited In (32)
- A residual-based test for autocorrelation in quantile regression models
- Semiparametric modeling of multiple quantiles
- Bayesian tail risk interdependence using quantile regression
- Tail risk aversion and backwardation of index futures
- Time-varying quantile association regression model with applications to financial contagion and VaR
- A risk measurement study evaluating the impact of COVID-19 on China's financial market using the QR-SGED-EGARCH model
- A copula-based quantile model
- Fat tails, VaR and subadditivity
- Network quantile autoregression
- Impulse response analysis in conditional quantile models with an application to monetary policy
- Dynamic Vector Mode Regression
- An exponentially weighted quantile regression via SVM with application to estimating multiperiod VaR
- Multivariate tail estimation with application to analysis of CoVaR
- Nonstationary nonlinear quantile regression
- Assessing interbank contagion using simulated networks
- Multivariate quantile impulse response functions
- Factorisable multitask quantile regression
- Estimating impulse-response functions for macroeconomic models using directional quantiles
- Dynamic Network Quantile Regression Model
- Econometric modeling of risk measures: a selective review of the recent literature
- Reduced form vector directional quantiles
- HAC Covariance Matrix Estimation in Quantile Regression
- How might sovereign bond yields in Asia Pacific react to US monetary normalisation under turbulent market conditions?
- A simulation-based method for estimating systemic risk measures
- Expectile hidden Markov regression models for analyzing cryptocurrency returns
- Dealing with Markov-switching parameters in quantile regression models
- The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
- VaR estimation based on quantile regression forest and risk factors analysis
- Tail maximal dependence in bivariate models: estimation and applications
- A multivariate FGD technique to improve VaR computation in equity markets
- Forecasting Value at Risk and Expected Shortfall Using a Semiparametric Approach Based on the Asymmetric Laplace Distribution
- Chi-Square quantile-based multivariate variance monitoring for individual observations
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