VAR for VaR: measuring tail dependence using multivariate regression quantiles
Halbert White, Tae-Hwan Kim, Simone Manganelli
| Year of publication: |
July 2015
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|---|---|
| Authors: | White, Halbert ; Kim, Tae-hwan ; Manganelli, Simone |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 187.2015, 1, p. 169-188
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| Subject: | Quantile impulse-responses | Spillover | Codependence | CAViaR | VAR-Modell | VAR model | Risikomaß | Risk measure | Regressionsanalyse | Regression analysis | Schätzung | Estimation | Statistische Verteilung | Statistical distribution | Spillover-Effekt | Spillover effect | Schätztheorie | Estimation theory | Multiple Regression | Multiple regression | Schock | Shock |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2015.02.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011498808