Search Results - subject:"Expectile regression"

Multivariate factorisable sparse asymmetric least squares regression

Chao, Shih-Kang; Härdle, Wolfgang; Huang, Chen - 2016

FActorisable Sparse Tail Event Curves (FASTEC) via multivariate asymmetric least squares regression (expectile regression) in a … high-dimensional framework is proposed. Expectile regression captures the tail moments globally and the smooth loss …

Persistent link: https://www.econbiz.de/10011579014

Mixed data sampling expectile regression with applications to measuring financial risk

Xu, Qifa; Chen, Lu; Jiang, Cuixia; Yu, Keming - In: Economic modelling 91 (2020), pp. 469-486

Persistent link: https://www.econbiz.de/10012429122

Jackknife model averaging for expectile regressions in increasing dimension

Tu, Yundong; Wang, Siwei - In: Economics letters 197 (2020), pp. 1-5

Persistent link: https://www.econbiz.de/10012511075

Confidence corridors for multivariate generalized quantile regression

Chao, Shih-kang; Proksch, Katharina; Dette, Holger; … - 2014

We focus on the construction of confidence corridors for multivariate nonparametric generalized quantile regression functions. This construction is based on asymptotic results for the maximal deviation between a suitable nonparametric estimator and the true function of interest which follow...

Persistent link: https://www.econbiz.de/10010427054

Information risk, market stress and institutional herding in financial markets: New evidence through the lens of a simulated model

Boortz, Christopher; Kremer, Stephanie; Jurkatis, Simon; … - 2014

This paper employs numerical simulations of the Park and Sabourian (2011) herd model to derive new theory-based predictions for how information risk and market stress influence aggregate herding intensity. We test these predictions empirically using a comprehensive data set of highfrequency and...

Persistent link: https://www.econbiz.de/10010427071