Markov regime-switching quantile regression models and financial contagion detection
Wuyi Ye, Yangguang Zhu, Yuehua Wu, Baiqi Miao
| Year of publication: |
March 2016
|
|---|---|
| Authors: | Ye, Wuyi ; Zhu, Yangguang ; Wu, Yuehua ; Miao, Baiqi |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 67.2016, p. 21-26
|
| Subject: | Risk analysis | Financial contagion | Markov regime-switching | Quantile regression | Laplace distribution | Markov-Kette | Markov chain | Regressionsanalyse | Regression analysis | Ansteckungseffekt | Contagion effect | Theorie | Theory | Finanzkrise | Financial crisis | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2015.11.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011457143