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ArticleNetwork quantile autoregression

Xuening Zhu2019

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Articlegreen2019

Network quantile autoregression

Xuening Zhu · Hansheng Wang · Wolfgang Karl Härdle

90 citations·0/0 files stored·Journal of Econometrics

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Financial Risk and Volatility Modeling Statistical Methods and Inference Complex Systems and Time Series Analysis

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References

2014A five-factor asset pricing model 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors 2012The Network Origins of Aggregate Fluctuations 2004CAViaR 2012Statistics for Spatio‐Temporal Data 2011Statistics for Spatio-Temporal Data 2004Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models

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Year2019

Typearticle

Published2019-04-11

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations90

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jeconom.2019.04.034

openalex_workW2581363723

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2020FRM Financial Risk Meter

2023Quantile connectedness amongst BRICS equity markets during the COVID-19 pandemic and Russia–Ukraine war