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  • Search: subject:"Multivariate quantile"
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Year of publication
Subject
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Estimation 9 Schätzung 9 Multivariate Analyse 7 Multivariate analysis 7 Risiko 7 Risikomaß 7 Risk 7 Risk measure 7 multivariate quantile 7 Spillover effect 6 Spillover-Effekt 6 Theorie 6 Theory 6 EPU spillovers 5 Regression analysis 5 Regressionsanalyse 5 Volatility 5 Volatilität 5 ARCH model 4 ARCH-Modell 4 Estimation theory 4 Multivariate quantile 4 Schätztheorie 4 Statistical distribution 4 Statistische Verteilung 4 quantile regression 4 Börsenkurs 3 CAPM 3 Multivariate quantile model 3 Portfolio selection 3 Portfolio-Management 3 Public bond 3 Quantile regression 3 Risikomanagement 3 Risk management 3 Share price 3 Welt 3 World 3 halfspace depth 3 multivariate quantile model 3
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Online availability
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Undetermined 16 Free 11 CC license 1
Type of publication
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Article 17 Book / Working Paper 11
Type of publication (narrower categories)
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Article in journal 14 Aufsatz in Zeitschrift 14 Working Paper 6 Arbeitspapier 5 Graue Literatur 2 Non-commercial literature 2
Language
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English 20 Undetermined 8
Author
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Gong, Yuting 5 Xue, Wenjun 5 Hallin, Marc 3 Paindaveine, Davy 3 Siman, Miroslav 3 Chao, Shih-Kang 2 Einmahl, John 2 He, Zhongzhi 2 Kratz, Marie 2 Li, Xiao 2 Singha, Sibsankar 2 Vadlamani, Sreekar 2 Yuan, Ming 2 Šiman, Miroslav 2 Adebayo, Tomiwa 1 Amewu, Godfred 1 Anarfo, Ebenezer Bugri 1 Armah, Mohammed 1 Atan, Huzeyfe Zahit 1 Aydemir, Resul 1 Caglayan, Mustafa O. 1 Chi, Xie 1 Einmahl, John H. J. 1 Gyamfi, Emmanuel Numapau 1 Güloğlu, Bülent 1 He, Y. 1 He, Yi 1 Hlubinka, Daniel 1 Härdle, Wolfgang 1 Härdle, Wolfgang Karl 1 Iacopini, Matteo 1 Koy, Ayben 1 Laniado, Henry 1 Li, J. 1 Lillo, Rosa E. 1 Liu, Fang 1 Liu, R.Y. 1 Lu, Zudi 1 Nandini, Das 1 Ozkan, Oktay 1
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Institution
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European Centre for Advanced Research in Economics and Statistics (ECARES), Solvay Brussels School of Economics and Management 2 Tilburg University, Center for Economic Research 2 Solvay Brussels School of Economics and Management, Université Libre de Bruxelles 1
Published in...
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Discussion Paper / Tilburg University, Center for Economic Research 2 Documents de recherche 2 Finance research letters 2 Journal of Multivariate Analysis 2 Working Papers ECARES 2 Applied economics letters 1 Computational economics 1 Discussion paper / Center for Economic Research, Tilburg University 1 ECARES working paper 1 Economic Quality Control 1 Energy economics 1 Energy strategy reviews 1 Insurance 1 International journal of Islamic and Middle Eastern finance and management 1 International review of financial analysis 1 Journal of economic dynamics & control 1 SFB 649 Discussion Paper 1 SFB 649 discussion paper 1 Structural change and economic dynamics 1 The European journal of finance 1 The North American journal of economics and finance : a journal of theory and practice 1 The journal of futures markets 1 ULB Institutional Repository 1
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Source
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ECONIS (ZBW) 19 RePEc 8 EconStor 1
Showing 11 - 20 of 28
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The impact of EPU spillovers on the bond market volatility : global evidence
Gong, Yuting; Li, Xiao; Xue, Wenjun - In: Finance research letters 55 (2023) 2, pp. 1-8
Persistent link: https://www.econbiz.de/10014473341
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Bayesian mixed-frequency quantile vector autoregression : eliciting tail risks of monthly US GDP
Iacopini, Matteo; Poon, Aubrey; Rossini, Luca; Zhu, Dan - In: Journal of economic dynamics & control 157 (2023), pp. 1-16
Persistent link: https://www.econbiz.de/10014495378
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EPU spillovers and sovereign CDS spreads : a cross-country study
Gong, Yuting; He, Zhongzhi; Xue, Wenjun - In: The journal of futures markets 43 (2023) 12, pp. 1770-1806
Persistent link: https://www.econbiz.de/10014433010
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Factorisable sparse tail event curves
Chao, Shih-Kang; Härdle, Wolfgang; Yuan, Ming - 2015
In this paper, we propose a multivariate quantile regression method which enables localized analysis on conditional …
Persistent link: https://www.econbiz.de/10011296776
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Elliptical multiple-output quantile regression and convex optimization
Hallin, Marc; Siman, Miroslav - 2015
Persistent link: https://www.econbiz.de/10011628546
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Cover Image
Factorisable sparse tail event curves
Chao, Shih-Kang; Härdle, Wolfgang Karl; Yuan, Ming - 2015
In this paper, we propose a multivariate quantile regression method which enables localized analysis on conditional …
Persistent link: https://www.econbiz.de/10011380701
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Estimation of extreme depth-based quantile regions
He, Yi; Einmahl, John H. J. - 2014
Persistent link: https://www.econbiz.de/10011282830
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Estimation of Extreme Depth-Based Quantile Regions
Einmahl, John; He, Y. - Tilburg University, Center for Economic Research - 2014
Consider the extreme quantile region, induced by the halfspace depth function HD, of the form Q = fx 2 Rd : HD(x; P) g, such that PQ = p for a given, very small p 0. This region can hardly be estimated through a fully nonparametric procedure since the sample halfspace depth is 0 outside the...
Persistent link: https://www.econbiz.de/10011090341
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When Bitcoin meets economic policy uncertainty (EPU) : measuring risk spillover effect from EPU to Bitcoin
Wang, Gang-Jin; Chi, Xie; Wen, Danyan; Zhao, Longfeng - In: Finance research letters 31 (2019), pp. 489-497
Persistent link: https://www.econbiz.de/10012421780
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Integrated portfolio risk measure : estimation and asymptotics of multivariate geometric quantiles
Sun, Edward W.; Wang, Yu-Jen; Yu, Min-Teh - In: Computational economics 52 (2018) 2, pp. 627-652
Persistent link: https://www.econbiz.de/10012053017
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