Time-varying quantile association regression model with applications to financial contagion and VaR
type: Item
instance of: scholarly article
title: Time-varying quantile association regression model with applications to financial contagion and VaR
zbMATH Open document ID: 1394.62152
author: Wuyi Ye
author: Kebing Luo
author: Xiaoquan Liu
published in: European Journal of Operational Research
publication date: 2018-05-24T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62G08
Mathematics Subject Classification ID: 62G32
zbMATH DE Number: 6872263
zbMATH Keywords: finance
zbMATH Keywords: copula
zbMATH Keywords: local polynomial regression
zbMATH Keywords: financial crisis
describes a project that uses: CAViaR
MaRDI profile type: Publication
full work available at URL: j.ejor.2016.07.048
OpenAlex ID: W2504214920
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DOI: 10.1016/J.EJOR.2016.07.048
description: scientific article; zbMATH DE number 6872263