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  • Search: subject:"quantile impulse-responses"
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Year of publication
Subject
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CAViaR 4 Quantile impulse-responses 3 codependence 3 spillover 3 Codependence 1 Estimation 1 Estimation theory 1 Multiple Regression 1 Multiple regression 1 Regression analysis 1 Regressionsanalyse 1 Risikomaß 1 Risk measure 1 Schock 1 Schätztheorie 1 Schätzung 1 Shock 1 Spillover 1 Spillover effect 1 Spillover-Effekt 1 Statistical distribution 1 Statistische Verteilung 1 VAR model 1 VAR-Modell 1 quantile impulse-responses 1
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Online availability
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Free 2 Undetermined 1
Type of publication
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Book / Working Paper 3 Article 1
Type of publication (narrower categories)
All
Article in journal 1 Aufsatz in Zeitschrift 1 Working Paper 1
Language
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English 2 Undetermined 2
Author
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Manganelli, Simone 4 Kim, Tae-Hwan 3 White, Halbert 3 Kim, Tae-hwan 1 white, Habert 1
Institution
All
Economic Research Institute, College of Business and Economics 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
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ECB Working Paper 1 Journal of econometrics 1 MPRA Paper 1 Working papers / Economic Research Institute, College of Business and Economics 1
Source
All
RePEc 2 ECONIS (ZBW) 1 EconStor 1
Showing 1 - 4 of 4
Cover Image
VAR for VaR: measuring tail dependence using multivariate regression quantiles
White, Halbert; Kim, Tae-Hwan; Manganelli, Simone - 2015
This paper proposes methods for estimation and inference in multivariate, multi-quantile models. The theory can simultaneously accommodate models with multiple random variables, multiple confidence levels, and multiple lags of the associated quantiles. The proposed framework can be conveniently...
Persistent link: https://www.econbiz.de/10011605859
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VAR for VaR: measuring systemic risk using multivariate regression quantiles.
White, Halbert; Kim, Tae-Hwan; Manganelli, Simone - Volkswirtschaftliche Fakultät, … - 2010
This paper proposes methods for estimation and inference in multivariate, multi-quantile models. The theory can simultaneously accommodate models with multiple random variables, multiple confidence levels, and multiple lags of the associated quantiles. The proposed framework can be conveniently...
Persistent link: https://www.econbiz.de/10009386706
Saved in:
Cover Image
VAR for VaR: measuring tail dependence using multivariate regression quantiles
White, Halbert; Kim, Tae-hwan; Manganelli, Simone - In: Journal of econometrics 187 (2015) 1, pp. 169-188
Persistent link: https://www.econbiz.de/10011498808
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Cover Image
VAR for VaR: Measuring Tail Dependence Using Multivariate Regression Quantiles
white, Habert; Kim, Tae-Hwan; Manganelli, Simone - Economic Research Institute, College of Business and … - 2012
This paper proposes methods for estimation and inference in multivariate, multi-quantile models. The theory can simultaneously accommodate models with multiple random variables, multiple confidence levels, and multiple lags of the associated quantiles. The proposed framework can be conveniently...
Persistent link: https://www.econbiz.de/10011191552
Saved in:
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