Time-varying quantile association regression model with applications to financial contagion and VaR

DOI10.1016/j.ejor.2016.07.048zbMath1394.62152OpenAlexW2504214920MaRDI QIDQ1752286

Kebing Luo, Wuyi Ye, Xiaoquan Liu

Publication date: 24 May 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2016.07.048

zbMATH Keywords

copulalocal polynomial regressionfinancefinancial crisis

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32)

Related Items (3)

Setting the margins of hang seng index futures on different positions using an APARCH-GPD model based on extreme value theory ⋮ Early warning of systemic risk in global banking: eigen-pair R number for financial contagion and market price-based methods ⋮ Copula theory and probabilistic sensitivity analysis: is there a connection?

Uses Software

• CAViaR

Cites Work

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