Measuring contagion of subprime crisis based on MVMQ-CAViaR method

DOI10.1155/2014/386875zbMath1422.91818OpenAlexW2061996098WikidataQ59039079 ScholiaQ59039079MaRDI QIDQ2321389

Wuyi Ye, Shaofu Du, Kebing Luo

Publication date: 23 August 2019

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/386875

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Actuarial science and mathematical finance (91G99)

Uses Software

• CAViaR

Cites Work

• Unnamed Item
• Volatility spillovers, interdependence and comovements: a Markov switching approach
• ARCH modeling in finance. A review of the theory and empirical evidence
• Measuring the subprime crisis contagion: evidence of change point analysis of copula functions
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• Market linkages, variance spillovers, and correlation stability: empirical evidence of financial contagion
• CONSISTENT SPECIFICATION TESTING WITH NUISANCE PARAMETERS PRESENT ONLY UNDER THE ALTERNATIVE
• Long Memory in Economics
• Regression Quantiles
• Goodness of Fit and Related Inference Processes for Quantile Regression
• A Three-Parameter Asymmetric Laplace Distribution and Its Extension
• Bayesian quantile regression

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