Bayesian tail risk interdependence using quantile regression

DOI10.1214/14-BA911zbMath1335.62013MaRDI QIDQ273621

Mauro Bernardi, Ghislaine Gayraud, Lea Petrella

Publication date: 22 April 2016

Published in: Bayesian Analysis (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ba/1422884983

zbMATH Keywords

state space modelsrisk measures

Mathematics Subject Classification ID

Related Items (13)

Financial risk management based on quantile regression model ⋮ Marginal M-quantile regression for multivariate dependent data ⋮ Covar of families of copulas ⋮ Bayesian quantile regression using the skew exponential power distribution ⋮ Quantile hidden semi-Markov models for multivariate time series ⋮ On the \(L_p\)-quantiles for the Student \(t\) distribution ⋮ Bayesian Quantile Regression for Big Data Analysis ⋮ Bayesian scale mixtures of normals linear regression and Bayesian quantile regression with big data and variable selection ⋮ Bayesian binary quantile regression for the analysis of Bachelor-to-Master transition ⋮ Fully Bayesian estimation of simultaneous regression quantiles under asymmetric Laplace distribution specification ⋮ Joint estimation of conditional quantiles in multivariate linear regression models with an application to financial distress ⋮ Truncation invariant copulas and a testing procedure ⋮ Unified Bayesian conditional autoregressive risk measures using the skew exponential power distribution

Uses Software

• CAViaR
• QRM

Cites Work

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