Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity
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Publication:114808
DOI10.1080/01621459.2018.1543598zbMath1437.62379OpenAlexW2614983056WikidataQ128705695 ScholiaQ128705695MaRDI QIDQ114808
Jushan Bai, Tomohiro Ando, Jushan Bai, Tomohiro Ando
Publication date: 11 April 2019
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/11343/258630
endogeneityheterogeneous panelquantile factor structureserial and cross-sectional correlationsdata-augmentation
Software, source code, etc. for problems pertaining to statistics (62-04) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15)
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Uses Software
Cites Work
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