Du, Zaichao; Xie, Yiwei; Yang, Tao; Yu, Hongbao - 2022
White et al. (2015) extend the vector autoregressive (VAR) for conditional mean to VAR for conditional quantiles (VAR-VaR) to capture the interdependencies among the quantiles of multiple time series. In this paper, we introduce a post-lasso estimator to extend VAR-VaR to the high-dimensional...
