Time-varying quantile association regression model with applications to financial contagion and VaR
Wuyi Ye, Kebing Luo, Xiaoquan Liu
| Year of publication: |
1 February 2017
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| Authors: | Ye, Wuyi ; Luo, Kebing ; Liu, Xiaoquan |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 256.2017, 3 (1.2.), p. 1015-1028
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| Subject: | Finance | Copula | Local polynomial regression | Financial crisis | Regressionsanalyse | Regression analysis | Finanzkrise | Ansteckungseffekt | Contagion effect | Multivariate Verteilung | Multivariate distribution | Risikomaß | Risk measure | VAR-Modell | VAR model | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2016.07.048 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011639292