Markov regime-switching quantile regression models and financial contagion detection

DOI10.1016/j.insmatheco.2015.11.002zbMath1348.62251OpenAlexW2235593455MaRDI QIDQ282262

Yangguang Zhu, Baiqi Miao, Yuehua Wu, Wuyi Ye

Publication date: 12 May 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.11.002

zbMATH Keywords

risk analysisquantile regressionLaplace distributionfinancial contagionMarkov regime-switching

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Markov processes: estimation; hidden Markov models (62M05)

Related Items

Hidden semi-Markov-switching quantile regression for time series ⋮ Dealing with Markov-switching parameters in quantile regression models ⋮ Quantile hidden semi-Markov models for multivariate time series ⋮ Maximum likelihood estimation for quantile autoregression models with Markovian switching ⋮ Markov-switching quantile autoregression: a Gibbs sampling approach ⋮ Unnamed Item ⋮ Markov switching quantile regression models with time-varying transition probabilities

Uses Software

• CAViaR
• QRM
• MS_Regress

Cites Work

• Unnamed Item
• Unnamed Item
• Estimation of Markov regime-switching regression models with endogenous switching
• A Markov model for switching regressions
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• Regression Quantiles
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Quantile smoothing splines
• Goodness of Fit and Related Inference Processes for Quantile Regression
• A Three-Parameter Asymmetric Laplace Distribution and Its Extension
• A Regime-Switching Model of Long-Term Stock Returns
• The Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimes