Assessing network risk with FRM: links with pricing kernel volatility and application to cryptocurrencies
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Publication:6592295
DOI10.1080/14697688.2024.2370311zbMATH Open1542.91418MaRDI QIDQ6592295
Wolfgang Karl Härdle, Unnamed Author, Valerio Potì
Publication date: 26 August 2024
Published in: Quantitative Finance (Search for Journal in Brave)
Nonparametric regression and quantile regression (62G08) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial networks (including contagion, systemic risk, regulation) (91G45)
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- Single-Index-Based CoVaR With Very High-Dimensional Covariates
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