Search Results - subject:"Extremal quantile regression"

Censored Fractional Response Model: Estimating Heterogeneous Relative Risk Aversion of European Households

Xiong, Qizhou - 2015

This paper estimates relative risk aversion using the observed shares of risky assets and characteristics of households from the Household Finance and Consumption Survey of the European Central Bank. Given that the risky share is a fractional response variable belonging to [0, 1], this paper...

Persistent link: https://www.econbiz.de/10011319157

Censored fractional response model : estimating heterogeneous relative risk aversion of European households

Xiong, Qizhou - 2015

Persistent link: https://www.econbiz.de/10011317831

Measuring systemic financial risk and analyzing influential factors: an extreme value approach

Wang, Yan; Chen, Shoudong; Zhang, Xiu - In: China Finance Review International 4 (2014) 4, pp. 385-398

using extremal quantile regression and analyzing the influential factors of systemic risk. Design …/methodology/approach – Extreme value theory is applied when measuring the systemic risk of financial institutions. Extremal quantile regression … risk using extremal quantile regression for the first time. …

Persistent link: https://www.econbiz.de/10014694631

Measuring systemic financial risk and analyzing influential factors: an extreme value approach

Wang, Yan; Chen, Shoudong; Zhang, Xiu - In: China Finance Review International 4 (2014), pp. 385-398

extremal quantile regression and analyzing the influential factors of systemic risk. Design/methodology/approach - Extreme … value theory is applied when measuring the systemic risk of financial institutions. Extremal quantile regression, where … risk using extremal quantile regression for the first time. …

Persistent link: https://www.econbiz.de/10010960137

Measuring systemic financial risk and analyzing influential factors : an extreme value approach

Wang, Yan; Chen, Shoudong; Zhang, Xiu - In: China finance review international 4 (2014) 4, pp. 385-398

Persistent link: https://www.econbiz.de/10011338998