One popular approach for nonstructural economic and financial forecasting is to include a large number of economic and financial variables, which has been shown to lead to significant improvements for forecasting, for example, by the dynamic factor models. A challenging issue is to determine...

Quantile regression is in the focus of many estimation techniques and is an important tool in data analysis. When it comes to nonparametric specifications of the conditional quantile (or more generally tail) curve one faces, as in mean regression, a dimensionality problem. We propose a...

Probability of default prediction is one of the important tasks of rating agencies as well as of banks and other financial companies to measure the default risk of their counterparties. Knowing predictors that significantly contribute to default prediction provides a better insight into...

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...