scientific article; zbMATH DE number 7366629

MaRDI QIDQ4996487zbMATH OpenFDO

Authors Wuyi Ye, Y. W. Li, Zun Wu

Publication date 1 July 2021

zbMATH Keywords

CVaRsystematic tail risktail index regressionvolatility index

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial networks (including contagion, systemic risk, regulation) (91G45)

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Cited in

(1)

• Dynamic correlation of quantile regression model based on smooth transition mechanism

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