Quantile graphical models: prediction and conditional independence with applications to systemic risk
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- Alexandre Belloni & Mingli Chen & Victor Chernozhukov, 2017. "Quantile graphical models: prediction and conditional independence with applications to systemic risk," CeMMAP working papers 54/17, Institute for Fiscal Studies.
- Alexandre Belloni & Mingli Chen & Victor Chernozhukov, 2016. "Quantile Graphical Models: Prediction and Conditional Independence with Applications to Systemic Risk," Papers 1607.00286, arXiv.org, revised Oct 2019.
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More about this item
Keywords
High-dimensional approximately sparse model; tail risk network; conditional independence; nonlinear correlation; penalized quantile regression; systemic risk; financial contagion; downside movement;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2018-01-15 (Banking)
- NEP-ECM-2018-01-15 (Econometrics)
- NEP-RMG-2018-01-15 (Risk Management)
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