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Search: subject:"multivariate quantile regression"
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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
Saved in:
2
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
Saved in:
3
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
Saved in:
4
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
Saved in:
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