Time-varying quantile association regression model with applications to financial contagion and VaR
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- 作者：Wuyi Yea ; wyye@ustc.edu.cn" class="auth_mail" title="E-mail the corresponding author ; Kebing Luoa ; kbluo@mail.ustc.edu.cn" class="auth_mail" title="E-mail the corresponding author ; Xiaoquan Liu ; b ; xiaoquan.liu@nottingham.edu.cn" class="auth_mail" title="E-mail the corresponding author
- 关键词：Finance ; Copula ; Local polynomial regression ; Financial crisis
- 刊名：European Journal of Operational Research
- 出版年：2017
- 出版时间：1 February 2017
- 年：2017
- 卷：256
- 期：3
- 页码：1015-1028
- 全文大小：4990 K
文摘
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We develop a quantile association regression model to evaluate tail dependence.
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The model enjoys methodological advantages over Copula and the EVT methods.
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Simulations show good performance in estimating and forecasting dependence.
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We apply the model to determine contagion during the US and European crises.
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We provide accurate description of daily conditional Value-at-Risk.