Estimation and inference of quantile impulse response functions by local projections : with applications to VaR dynamics
Heejoon Han, Whayoung Jung, and Ji Hyung Lee
| Year of publication: |
2024
|
|---|---|
| Authors: | Han, Heejoon ; Jung, Whayoung ; Lee, Ji Hyung |
| Subject: | local projection | quantile impulse response | stationary bootstrap | value-at-risk | VAR-Modell | VAR model | Schätztheorie | Estimation theory | Bootstrap-Verfahren | Bootstrap approach | Zeitreihenanalyse | Time series analysis | Risikomaß | Risk measure | Schock | Shock | Schätzung | Estimation | Induktive Statistik | Statistical inference |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbac026 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014526299