Quantile graphical models : prediction and conditional independence with applications to systemic risk
Year of publication: |
30 November 2017 ; This version December 4, 2017
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Authors: | Belloni, Alexandre ; Chen, Mingli ; Chernozhukov, Victor |
Publisher: |
London : Cemmap, Centre for Microdata Methods and Practice, The Institute for Fiscal Studies, Department of Economics, UCL |
Subject: | High-dimensional approximately sparse model | tail risk network | conditional independence | nonlinear correlation | penalized quantile regression | systemic risk | financial contagion | downside movement | Systemrisiko | Systemic risk | Regressionsanalyse | Regression analysis | Finanzkrise | Financial crisis | Ansteckungseffekt | Contagion effect | Risikomaß | Risk measure | Korrelation | Correlation | Schätzung | Estimation | Statistische Verteilung | Statistical distribution | Prognoseverfahren | Forecasting model | Nichtparametrisches Verfahren | Nonparametric statistics |
Extent: | 1 Online-Ressource (circa 73 Seiten) Illustrationen |
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Series: | CEMMAP working papers / Centre for Microdata Methods and Practice. - London : [Verlag nicht ermittelbar], ISSN 1753-9196, ZDB-ID 2106928-1. - Vol. CWP 17, 54 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Other identifiers: | hdl:10419/189792 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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