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Quantiles, expectiles and splines

Citations

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Cited by:

  1. Chan, Ngai Hang & Sit, Tony, 2016. "Artifactual unit root behavior of Value at risk (VaR)," Statistics & Probability Letters, Elsevier, vol. 116(C), pages 88-93.
  2. Ng, Jason & Forbes, Catherine S. & Martin, Gael M. & McCabe, Brendan P.M., 2013. "Non-parametric estimation of forecast distributions in non-Gaussian, non-linear state space models," International Journal of Forecasting, Elsevier, vol. 29(3), pages 411-430.
  3. Xiu Xu & Andrija Mihoci & Wolfgang Karl Hardle, 2020. "lCARE -- localizing Conditional AutoRegressive Expectiles," Papers 2009.13215, arXiv.org.
  4. Busetti, Fabio & Caivano, Michele & Delle Monache, Davide & Pacella, Claudia, 2021. "The time-varying risk of Italian GDP," Economic Modelling, Elsevier, vol. 101(C).
  5. Chollete, Lorán & de la Peña, Victor & Lu, Ching-Chih, 2012. "International diversification: An extreme value approach," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 871-885.
  6. Fabio Busetti & Andrew Harvey, 2011. "When is a Copula Constant? A Test for Changing Relationships," Journal of Financial Econometrics, Oxford University Press, vol. 9(1), pages 106-131, Winter.
  7. Zhang, Feipeng & Li, Qunhua, 2017. "A continuous threshold expectile model," Computational Statistics & Data Analysis, Elsevier, vol. 116(C), pages 49-66.
  8. Fabio Busetti & Michele Caivano & Davide Delle Monache, 2021. "Domestic and Global Determinants of Inflation: Evidence from Expectile Regression," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(4), pages 982-1001, August.
  9. Luciano Stefanini & Maria Letizia Guerra, 2016. "On Possibilistic Representations of Fuzzy Intervals," Working Papers 1602, University of Urbino Carlo Bo, Department of Economics, Society & Politics - Scientific Committee - L. Stefanini & G. Travaglini, revised 2016.
  10. Tobias Adrian & Markus K. Brunnermeier, 2016. "CoVaR," American Economic Review, American Economic Association, vol. 106(7), pages 1705-1741, July.
    • Tobias Adrian & Markus K. Brunnermeier, 2008. "CoVaR," Staff Reports 348, Federal Reserve Bank of New York.
    • Tobias Adrian & Markus K. Brunnermeier, 2011. "CoVaR," NBER Working Papers 17454, National Bureau of Economic Research, Inc.
  11. Harvey,Andrew C., 2013. "Dynamic Models for Volatility and Heavy Tails," Cambridge Books, Cambridge University Press, number 9781107034723, September.
  12. repec:hum:wpaper:sfb649dp2015-029 is not listed on IDEAS
  13. Yuta Kurose & Yasuhiro Omori, 2012. "Bayesian Analysis of Time-Varying Quantiles Using a Smoothing Spline," CIRJE F-Series CIRJE-F-845, CIRJE, Faculty of Economics, University of Tokyo.
  14. Zhang, Feipeng & Xu, Yixiong & Fan, Caiyun, 2023. "Nonparametric inference of expectile-based value-at-risk for financial time series with application to risk assessment," International Review of Financial Analysis, Elsevier, vol. 90(C).
  15. Harvey, A., 2008. "Dynamic distributions and changing copulas," Cambridge Working Papers in Economics 0839, Faculty of Economics, University of Cambridge.
  16. Daouia, Abdelaati & Paindaveine, Davy, 2019. "Multivariate Expectiles, Expectile Depth and Multiple-Output Expectile Regression," TSE Working Papers 19-1022, Toulouse School of Economics (TSE), revised Feb 2023.
  17. Zhiping Chen & Qianhui Hu & Ruiyue Lin, 2016. "Performance ratio-based coherent risk measure and its application," Quantitative Finance, Taylor & Francis Journals, vol. 16(5), pages 681-693, May.
  18. Huang, Xiaolin & Shi, Lei & Suykens, Johan A.K., 2014. "Asymmetric least squares support vector machine classifiers," Computational Statistics & Data Analysis, Elsevier, vol. 70(C), pages 395-405.
  19. Patrick Schmidt & Matthias Katzfuss & Tilmann Gneiting, 2021. "Interpretation of point forecasts with unknown directive," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(6), pages 728-743, September.
  20. Garcia-Jorcano, Laura & Sanchis-Marco, Lidia, 2022. "Spillover effects between commodity and stock markets: A SDSES approach," Resources Policy, Elsevier, vol. 79(C).
  21. Mauro Bernardi & Ghislaine Gayraud & Lea Petrella, 2013. "Bayesian inference for CoVaR," Papers 1306.2834, arXiv.org, revised Nov 2013.
  22. Jakobsons Edgars, 2016. "Scenario aggregation method for portfolio expectile optimization," Statistics & Risk Modeling, De Gruyter, vol. 33(1-2), pages 51-65, September.
  23. C. Adam & I. Gijbels, 2022. "Local polynomial expectile regression," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 74(2), pages 341-378, April.
  24. Kneib, Thomas & Silbersdorff, Alexander & Säfken, Benjamin, 2023. "Rage Against the Mean – A Review of Distributional Regression Approaches," Econometrics and Statistics, Elsevier, vol. 26(C), pages 99-123.
  25. Cathy Q. Ning & Loran Chollete, 2009. "The Dependence Structure of Macroeconomic Variables in the US," Working Papers 005, Toronto Metropolitan University, Department of Economics.
  26. Bellini, Fabio & Klar, Bernhard & Müller, Alfred & Rosazza Gianin, Emanuela, 2014. "Generalized quantiles as risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 41-48.
  27. Abdelaati Daouia & Stéphane Girard & Gilles Stupfler, 2018. "Estimation of tail risk based on extreme expectiles," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 80(2), pages 263-292, March.
  28. Caparoz, Marcel & Marçal, Emerson Fernandes & Mattos, Enlinson, 2019. "A time series analysis of household income inequality in Brazil 1977 to 2013," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 73(4), December.
  29. Chollete, Lorán & de la Peña, Victor & Lu, Ching-Chih, 2011. "International diversification: A copula approach," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 403-417, February.
  30. Harvey, Andrew, 2010. "Tracking a changing copula," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 485-500, June.
  31. Antonio Rubia Serrano & Lidia Sanchis-Marco, 2015. "Measuring Tail-Risk Cross-Country Exposures in the Banking Industry," Working Papers. Serie AD 2015-01, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  32. Luciano Stefanini, 2015. "Quantile and expectile smoothing by F-transform," Working Papers 1512, University of Urbino Carlo Bo, Department of Economics, Society & Politics - Scientific Committee - L. Stefanini & G. Travaglini, revised 2015.
  33. Chao, Shih-Kang & Härdle, Wolfgang K. & Huang, Chen, 2018. "Multivariate factorizable expectile regression with application to fMRI data," Computational Statistics & Data Analysis, Elsevier, vol. 121(C), pages 1-19.
  34. Bruzda, Joanna, 2019. "Quantile smoothing in supply chain and logistics forecasting," International Journal of Production Economics, Elsevier, vol. 208(C), pages 122-139.
  35. Chollete, Loran & Pena, Victor de la & Lu, Ching-Chih, 2009. "International Diversification: A Copula Approach," UiS Working Papers in Economics and Finance 2009/27, University of Stavanger.
  36. Dai, Sheng & Kuosmanen, Timo & Zhou, Xun, 2023. "Generalized quantile and expectile properties for shape constrained nonparametric estimation," European Journal of Operational Research, Elsevier, vol. 310(2), pages 914-927.
  37. Zhijie Xiao & Roger Koenker, 2009. "Conditional Quantile Estimation for GARCH Models," Boston College Working Papers in Economics 725, Boston College Department of Economics.
  38. Fabio Busetti & Michele Caivano & Lisa Rodano, 2015. "On the conditional distribution of euro area inflation forecast," Temi di discussione (Economic working papers) 1027, Bank of Italy, Economic Research and International Relations Area.
  39. Xu, Xiu & Mihoci, Andrija & Härdle, Wolfgang Karl, 2018. "lCARE - localizing conditional autoregressive expectiles," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 198-220.
  40. Fabio Busetti & Andrew Harvey, 2010. "Tests of strict stationarity based on quantile indicators," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(6), pages 435-450, November.
  41. Chollete, Loran & de la Pena , Victor & Lu, Ching-Chih, 2009. "International Diversification: An Extreme Value Approach," UiS Working Papers in Economics and Finance 2009/26, University of Stavanger.
  42. Feng, Xiang-Nan & Wang, Yifan & Lu, Bin & Song, Xin-Yuan, 2017. "Bayesian regularized quantile structural equation models," Journal of Multivariate Analysis, Elsevier, vol. 154(C), pages 234-248.
  43. Federico Gatta & Fabrizio Lillo & Piero Mazzarisi, 2024. "CAESar: Conditional Autoregressive Expected Shortfall," Papers 2407.06619, arXiv.org.
  44. Harvey, Andrew & Oryshchenko, Vitaliy, 2012. "Kernel density estimation for time series data," International Journal of Forecasting, Elsevier, vol. 28(1), pages 3-14.
  45. repec:hum:wpaper:sfb649dp2015-052 is not listed on IDEAS
  46. Shuzhen Yang, 2021. "Compensatory model for quantile estimation and application to VaR," Papers 2112.07278, arXiv.org.
  47. Bingzhen Geng & Yang Liu & Yimiao Zhao, 2024. "Value-at-Risk- and Expectile-based Systemic Risk Measures and Second-order Asymptotics: With Applications to Diversification," Papers 2404.18029, arXiv.org.
  48. Nieto, Maria Rosa & Ruiz, Esther, 2016. "Frontiers in VaR forecasting and backtesting," International Journal of Forecasting, Elsevier, vol. 32(2), pages 475-501.
  49. Zongwu Cai & Ying Fang & Dingshi Tian, 2024. "CAViaR Model Selection Via Adaptive Lasso," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202403, University of Kansas, Department of Economics, revised Jan 2024.
  50. Chollete, Loran & Ning, Cathy, 2010. "Asymmetric Dependence in US Financial Risk Factors?," UiS Working Papers in Economics and Finance 2011/2, University of Stavanger.
  51. Rubia, Antonio & Sanchis-Marco, Lidia, 2013. "On downside risk predictability through liquidity and trading activity: A dynamic quantile approach," International Journal of Forecasting, Elsevier, vol. 29(1), pages 202-219.
  52. Zongwu Cai & Ying Fang & Dingshi Tian, 2018. "Assessing Tail Risk Using Expectile Regressions with Partially Varying Coefficients," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201804, University of Kansas, Department of Economics, revised Oct 2018.
  53. Marcus Alexander & Matthew Harding & Carlos Lamarche, 2011. "Quantifying the impact of economic crises on infant mortality in advanced economies," Applied Economics, Taylor & Francis Journals, vol. 43(24), pages 3313-3323.
  54. Voudouris, Vlasios & Matsumoto, Ken'ichi & Sedgwick, John & Rigby, Robert & Stasinopoulos, Dimitrios & Jefferson, Michael, 2014. "Exploring the production of natural gas through the lenses of the ACEGES model," Energy Policy, Elsevier, vol. 64(C), pages 124-133.
  55. James Ming Chen, 2018. "On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles," Risks, MDPI, vol. 6(2), pages 1-28, June.
  56. Burdejova, P. & Härdle, W. & Kokoszka, P. & Xiong, Q., 2017. "Change point and trend analyses of annual expectile curves of tropical storms," Econometrics and Statistics, Elsevier, vol. 1(C), pages 101-117.
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