VAR for VaR: measuring tail dependence using multivariate regression quantiles
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Cited in
(48)- Time-varying quantile association regression model with applications to financial contagion and VaR
- An exponentially weighted quantile regression via SVM with application to estimating multiperiod VaR
- Estimating impulse-response functions for macroeconomic models using directional quantiles
- Impulse response analysis in conditional quantile models with an application to monetary policy
- Econometric modeling of risk measures: a selective review of the recent literature
- Network quantile autoregression
- Reduced form vector directional quantiles
- Assessing interbank contagion using simulated networks
- A multivariate FGD technique to improve VaR computation in equity markets
- Tail maximal dependence in bivariate models: estimation and applications
- Bayesian tail risk interdependence using quantile regression
- The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
- Chi-Square quantile-based multivariate variance monitoring for individual observations
- A copula-based quantile model
- Factorisable multitask quantile regression
- How might sovereign bond yields in Asia Pacific react to US monetary normalisation under turbulent market conditions?
- Dealing with Markov-switching parameters in quantile regression models
- A residual-based test for autocorrelation in quantile regression models
- VaR estimation based on quantile regression forest and risk factors analysis
- Multivariate quantile impulse response functions
- Fat tails, VaR and subadditivity
- Multivariate tail estimation with application to analysis of CoVaR
- Nonstationary nonlinear quantile regression
- A simulation-based method for estimating systemic risk measures
- Semiparametric modeling of multiple quantiles
- A risk measurement study evaluating the impact of COVID-19 on China's financial market using the QR-SGED-EGARCH model
- Expectile hidden Markov regression models for analyzing cryptocurrency returns
- Tail risk aversion and backwardation of index futures
- Dynamic Network Quantile Regression Model
- Dynamic Vector Mode Regression
- HAC Covariance Matrix Estimation in Quantile Regression
- Forecasting Value at Risk and Expected Shortfall Using a Semiparametric Approach Based on the Asymmetric Laplace Distribution
- Quantiled conditional variance, skewness, and kurtosis by Cornish-Fisher expansion
- CAViaR model selection via adaptive Lasso
- The application of multiple-output quantile regression to the US financial cycle
- A simple quantile regression model linking micro outcomes to macro covariates
- Financial conditions, business cycle fluctuations and growth-at-risk
- The connectedness and risk spillovers between bitcoin spot and futures markets: evidence from intraday data
- An Oracle Inequality for Multivariate Dynamic Quantile Forecasting
- Monitoring multi-country macroeconomic risk: a quantile factor-augmented vector autoregressive (QFAVAR) approach
- Monte Carlo and importance sampling estimators of CoVaR
- Natural disasters as macroeconomic tail risks
- A semi-parametric dynamic conditional correlation framework for risk forecasting
- Quantile Policy Effects: An Application to U.S. Macroprudential Policy
- A Functional-Coefficient VAR Model for Dynamic Quantiles and Its Application to Constructing Nonparametric Financial Network
- Modeling asymmetric tail dependence in a non-Gaussian framework
- From beliefs to prices: analyzing how inflation expectations affect the inflation distribution
- A neural network-particle swarm solver for sustainable portfolio optimization problems
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