Panel quantile regression for extreme risk

DOI10.1016/J.JECONOM.2024.105674OpenAlexW4391429318WikidataQ128905539 ScholiaQ128905539MaRDI QIDQ6118720

Liang Peng, Xuan Leng, Yinggang Zhou, Yanxi Hou

Publication date: 21 March 2024

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2024.105674

zbMATH Keywords

prediction accuracyheteroscedastic extremesextreme conditional quantilesindividual fixed effectsintermediate conditional quantiles

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

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• Institutional Investors and Stock Market Volatility
• Robust Priors in Nonlinear Panel Data Models
• Statistics of Extremes
• Estimation of High Conditional Quantiles for Heavy-Tailed Distributions
• Statistics of Heteroscedastic Extremes
• High-quantile regression for tail-dependent time series

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