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A quantile regression approach to estimating the distribution of multiperiod returns

Taylor, James W. - In: The journal of derivatives : the official publication … 7 (1999) 1, pp. 64-78

Persistent link: https://www.econbiz.de/10001432473

Conditional quantiles and tail dependence in the volatilities of gold and silver

Bouri, Elie; Jalkh, Naji - In: International economics : a journal published by CEPII … 157 (2019), pp. 117-133

Persistent link: https://www.econbiz.de/10012318694

Conditional inferences based on vine copulas with applications to credit spread data of corporate bonds

Pan, Shenyi; Joe, Harry; Li, Guofu - In: Journal of financial econometrics 21 (2023) 3, pp. 714-741

Persistent link: https://www.econbiz.de/10014314788

Jump regressions

Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 1, pp. 173-195

Persistent link: https://www.econbiz.de/10011738476

Distribution of wealth and incomplete markets : theory and empirical evidence

Fiaschi, Davide; Marsili, Matteo - In: Journal of economic behavior & organization : JEBO 81 (2012) 1, pp. 243-267

Persistent link: https://www.econbiz.de/10009505566

Conditional systemic risk with penalized copula

Okhrin, Ostap; Ristig, Alexander; Sheen, Jeffrey R.; … - 2015

Financial contagion and systemic risk measures are commonly derived from conditional quantiles by using imposed model assumptions such as a linear parametrization. In this paper, we provide model free measures for contagion and systemic risk which are independent of the specifcation of...

Persistent link: https://www.econbiz.de/10011309638