Estimation and inference of quantile impulse response functions by local projections : with applications to VaR dynamics
Year of publication: |
2024
|
---|---|
Authors: | Han, Heejoon ; Jung, Whayoung ; Lee, Ji Hyung |
Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 22.2024, 1, p. 1-29
|
Subject: | local projection | quantile impulse response | stationary bootstrap | value-at-risk | VAR-Modell | VAR model | Schätztheorie | Estimation theory | Bootstrap-Verfahren | Bootstrap approach | Risikomaß | Risk measure | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Induktive Statistik | Statistical inference |
-
Structural inference in sparse high-dimensional vector autoregressions
Krampe, Jonas, (2023)
-
A Comparison of GARCH Models for VAR Estimation
Orhan, Mehmet, (2011)
-
A nonparametric dynamic network via multivariate quantile autoregressions
Cai, Zongwu, (2022)
- More ...
-
Han, Heejoon, (2019)
-
Quantile Impulse Response Analysis with Applications in Macroeconomics and Finance
Jung, Whayoung, (2022)
-
Quantile impulse response analysis with applications in macroeconomics and finance
Jung, Whayoung, (2023)
- More ...