VAR for VaR: measuring tail dependence using multivariate regression quantiles (Q494385)
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scientific article; zbMATH DE number 6477244
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | VAR for VaR: measuring tail dependence using multivariate regression quantiles |
scientific article; zbMATH DE number 6477244 |
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VAR for VaR: measuring tail dependence using multivariate regression quantiles (English)
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1 September 2015
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quantile impulse-responses
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spillover
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codependence
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CAViaR
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