VAR for VaR: measuring tail dependence using multivariate regression quantiles

DOI10.1016/j.jeconom.2015.02.004zbMath1337.62385OpenAlexW2110994806MaRDI QIDQ494385

Tae-Hwan Kim, Simone Manganelli, Halbert White

Publication date: 1 September 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.02.004

zbMATH Keywords

spilloverCAViaRcodependencequantile impulse-responses

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

Reduced form vector directional quantiles, How might sovereign bond yields in Asia Pacific react to US monetary normalisation under turbulent market conditions?, The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series, Dealing with Markov-switching parameters in quantile regression models, Semiparametric modeling of multiple quantiles, Estimating impulse-response functions for macroeconomic models using directional quantiles, A simulation-based method for estimating systemic risk measures, A residual-based test for autocorrelation in quantile regression models, A risk measurement study evaluating the impact of COVID-19 on China's financial market using the QR-SGED-EGARCH model, Tail maximal dependence in bivariate models: estimation and applications, Assessing interbank contagion using simulated networks, Impulse response analysis in conditional quantile models with an application to monetary policy, An exponentially weighted quantile regression via SVM with application to estimating multiperiod VaR, A Copula-Based Quantile Model, FACTORISABLE MULTITASK QUANTILE REGRESSION, Econometric modeling of risk measures: a selective review of the recent literature, Multivariate Quantile Impulse Response Functions, Network quantile autoregression, Nonstationary nonlinear quantile regression

Uses Software

• CAViaR

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Quasi-maximum likelihood estimation for conditional quantiles
• Quantile cointegrating regression
• Efficient estimation in dynamic conditional quantile models
• Robust penalized quantile regression estimation for panel data
• Quantile regression for dynamic panel data with fixed effects
• Least absolute deviations estimation for the censored regression model
• Nonparametric regression under qualitative smoothness assumptions
• Nonlinear impulse response functions
• Extremal quantile regression
• Inference for Extremal Conditional Quantile Models, with an Application to Market and Birthweight Risks
• Nonlinear Dynamic Structures
• Exogeneity
• CONSISTENT SPECIFICATION TESTING WITH NUISANCE PARAMETERS PRESENT ONLY UNDER THE ALTERNATIVE
• SEMIPARAMETRIC EFFICIENCY BOUND IN TIME-SERIES MODELS FOR CONDITIONAL QUANTILES
• Quantile and Probability Curves Without Crossing
• Regression Quantiles
• EFFICIENT SEMIPARAMETRIC SEEMINGLY UNRELATED QUANTILE REGRESSION ESTIMATION
• Modeling and Forecasting Realized Volatility
• Unit Root Quantile Autoregression Inference
• Quantile Autoregression