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adaptive Lasso based quantile regression in order to determine an active set of negative non-zero coefficients. Based on these …
Persistent link: https://www.econbiz.de/10010365113
Event Driven ASset allocation approach determines the dependence between assets at tail measures. TEDAS uses adaptive Lasso …
Persistent link: https://www.econbiz.de/10011349525
The influence of maternal health problems on child's worrying status is important in practice in terms of the intervention of maternal health problems early for the influence on child's worrying status. Conventional methods apply symmetric prior distributions such as a normal distribution or a...
Persistent link: https://www.econbiz.de/10010253468
optimizes all the parameters within the model. We employ Lasso and elastic-net penalty functions as regularization approach. The …
Persistent link: https://www.econbiz.de/10009779289
We propose a semiparametric measure to estimate systemic interconnectedness across financial institutions based on tail-driven spill-over effects in a ultra-high dimensional framework. Methodologically, we employ a variable selection technique in a time series setting in the context of a...
Persistent link: https://www.econbiz.de/10010428185
quantile lasso regression methods for risk analysis based on NASDAQ data, Yahoo Finance data and some macro variables. The ….quantlet.de with the keyword FRM. The RiskAnalytics package is a convenient tool with the purpose of integrating lasso penalized …
Persistent link: https://www.econbiz.de/10011619517
penalization parameter () of a linear quantile lasso regression. The FRM is calculated by taking the average of the penalization …
Persistent link: https://www.econbiz.de/10011598919
operator (Lasso) method proposed by Tibshirani (1996) and extended into quantile regression context by Li and Zhu (2008). The …
Persistent link: https://www.econbiz.de/10011557306
Crypto-currencies have developed a vibrant market since bitcoin, the rst crypto-currency, was created in 2009. We look at the properties of cryptocurrencies as financial assets in a broad cross-section. We discuss approaches of altcoins to generate value and their trading and information...
Persistent link: https://www.econbiz.de/10011544978
The S&P500 or DAX30 are important benchmarks for the financial industry. The first mimics the performance of the major US on the NYSE, AMEX and NASDAQ, while the second does the same for the German Prime Share sector. These and other indices describe different compositions of certain segments of...
Persistent link: https://www.econbiz.de/10011481648